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I have followed the documentation for adding the managed identity to workspace.

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you didn't link the guides you followed.   but if it was https://learn.microsoft.com/en-us/azure/databricks/dev-tools/auth/azure-mi or https://learn.microsoft.com/en-us/azure/databricks/dev-tools/azure-mi-auth those are all about granting a UMI the ability to access a workspace...not about letting a workspace access other azure resources so they won't help AFAIK