Created azure vm and enabled system-assigned managed identity, assigned proper roles to this identity on scope of subscription level.
  
Prepare auth file osServicePrincipal.json which only contains subscriptionId and tenantId, followed by doc[1].

Then continued the installation, installer timed out while waiting for network infrastructure to be created. Checked on Azure portal, resource group hasn't even been created yet.

CI job with managed identity auth failed starting from 4.18 when https://github.com/openshift/installer/pull/8844 was merged, and error with "403 Key based authentication is not permitted on this storage account" was thrown out after network infrastructure creation is completed.

But on 4.21+, CI job failed earlier when creating network infrastructure resources.


[1] https://docs.redhat.com/en/documentation/openshift_container_platform/4.20/html-single/installing_on_azure/index#installation-initializing_installing-azure-customizations 

    4.21+

    Always

    1. Create azure vm and enabled system-assigned managed identity, and assign proper roles to the identity
    2. Install cluster
    3.
    

    Installation failed while creating network infrastructure resources and no resource was created.

    Installation succeeded.

1.  Failed jobs on 4.21+
https://qe-private-deck-ci.apps.ci.l2s4.p1.openshiftapps.com/view/gs/qe-private-deck/logs/periodic-ci-openshift-verification-tests-main-installation-nightly-4.21-azure-ipi-oidc-managed-identity-system-f14/2012058974823649280

2. Failed jobs on 4.20 and earlier versions
https://qe-private-deck-ci.apps.ci.l2s4.p1.openshiftapps.com/view/gs/qe-private-deck/logs/periodic-ci-openshift-verification-tests-main-installation-nightly-4.20-azure-ipi-oidc-managed-identity-system-f14/2002555523861319680
https://qe-private-deck-ci.apps.ci.l2s4.p1.openshiftapps.com/view/gs/qe-private-deck/logs/periodic-ci-openshift-verification-tests-main-installation-nightly-4.19-azure-ipi-oidc-managed-identity-user-defined-mini-perm-f14/2010827123475877888

3. Installation succeeded with PR installer#9851 if clientID for system-assigned managed identity is set in osServicePrincipal.json file