Erin Stellato explains why things have to be so difficult:
If you have installed SQL Server Management Studio 19.1 or higher and encountered an Internet Explorer dialog with the message “Can’t reach this page” when trying to login using Microsoft Entra authentication (previously known as Azure Active Directory authentication), this post is for you. An example of what this error looks like is below. If you haven’t encountered this error and have no issues invoking a web browser from SSMS, then you can stop here and move on to something else! But if you’re interested, feel free to keep reading.
I think the decision that the tools team made here is the right one: default to using the system browser, but you can see the kind of problems that can cause some environments. It’s hard to write a tool intended to work in a large variety of environments, including highly secured ones.