My company is using Microsoft SQL Azure as the datasource and configured it with Active Directory Interactie (with MFA Support).
I do not have this option on the MacOS client, what do I need to do to connect to this datasource.
Sadly, some components required for this feature are not exposed in the macOS framework by Microsoft. Without them, the feature cannot be properly implemented.
So the simple but disappointing answer to your question is simply that you cannot.
We could investigate the feasibility of making our own custom component for this, but I'm skeptical of the feasibility of this. So this is most definitely not a short term solution (if it is one at all).
The only thing that can be done (and I can understand that it might be impossible for your company) would be to provide you with a database user that can be used with the "Database login" mode.
I'm sorry we could not provide you with a better solution.