I’m assuming you’re using Azure. The issue you’re going to run into is that a Managed Identity is used for Azure control plane authentication (ARM), not OS authentication. There is a Microsoft Azure Resource Manager credential type if you’re in AWX but that will take in either username/password or App Registration and secret (not Managed Identity).
On a side note, I am curious how your experience has been with using SSH to Windows. My understanding was that there were limitations with the modules and the support was somewhat experimental. WinRM has been a bane of my existence but it looked like SSH on Windows was going to just be a difference headache.