Cross database queries- Authentication with managed identities

Hi All;

I've recently has a situation where I need to query data across 2 databases in Azure;
Now both these Db's are on the same logical server  with database A being auditing data from several applications and many sources including Google Analytics and SalesForce and database 2 being a reporting DB.  This reporting data gets feeds via ADF  for many other sources including on Prem. 
Options considered
1: Build a new ADF pipeline to get the data from source into my reporting DB - This is in place for data that is not in database A but for the data in DB A, it would just be a waste of time so not a preferred option.
2:  ADF the data from A to B - As option 1 duplication of work, duplication of data, waste of time & effort, extra operational overhead. 

3: Join the data from A & B in an aggregation layer such as Power Bi or AAS - Fine for POC but as this is an evolving solution I don't want to build out a tabular model as yet.  

4: Use External tables -- Preferred option.

So I have opted for option 4 and set this up which is great.  Now my one concern is that for all the data loading pipelines, I am using ADF with managed identity however as far as I can see, Managed Identities cannot be used for external tables where it is SQL source and destination: Managed identities can be used for external tables in many circumstances but not in the situation I have. 

Have I missed something?  -- It looks like this may be possible in Synapse but I'd rather not go there as yet.