Managed Identity authentication is required when your storage account is attached to a VNet.
Regardless of the type of identity chosen a managed identity is a service principal of a special type that may only be used with Azure resources.
Note: An Azure service principal is an identity created for use with applications, hosted services, and automated tools to access Azure resources.
Reference:
https://docs.microsoft.com/en-us/azure/synapse-analytics/sql-data-warehouse/quickstart-bulk-load-copy-tsql-examples
https://docs.microsoft.com/en-us/powershell/azure/create-azure-service-principal-azureps