I was having the same issues.
I followed this article: Monitoring Microsoft Azure (checkmk.com) but I can confirm it’s both outdated and wrong.
First: the “username” is not the app Secret-ID, but it is the Client-ID (it would help if the docs used the SAME guid identifier so that we could just infer from that).
Second, I had to go to API permissions and assign User.Read.All (type Application, not Delegated) and give admin consent to it.
This resolved the critical errors on “Azure Agent Info” service check.
I am still trying to understand if I can further reduce the permissions… anyone on this ?