Windows Authentication for Azure AD principals for SQL Managed Instance is now Generally Available

We have successfully set up Windows Authentication with Azure SQL Managed Instance. Users are able to connect with SSMS or applications that use Windows auth.

I'm now struggling to set up Kerberos delegation (double hop) for a linked server scenario. I want to link an on-prem SQL Server to Azure SQL MI. I know how to set up the Kerberos delegation in our local AD environment, but I can't figure out how to delegate to anything in Azure. There are no database.windows.net objects available in Active Directory Users and Computers.

Any suggestions?