Azure Active Directory - Password on macOS

Should it be possible to connect to Azure SQL Database using DataGrip and "Azure Active Directory - Password" authentication on macOS?

I am using 10.13.2 (High Sierra) and DataGrip 2017.3.4, JRE: 1.8.0_152-release-1024-b11 x86_64.

I cannot connect. I have tried to create a "Azure (Microsoft)" connection. When I set authentication to "ActiveDirectoryPassword" on the Advanced tab, I get: "Azure Active Directory is only supported on Windows operating systems".

If I do not set ActiveDirectoryPassword, I get 'Cannot open server "my_usernames_domain"'.

It looks as if the only option is to use a VM with Microsoft's SQL Server Management Studio. Is that correct?

Thanks.