Hi, Ernesto
Your approach sounds 'sound'! It's probably, how I would have approached it as well - especially if you have DFS-N, you can just change the target.
It would be worth including a domain controller in Azure as well, for the fileserver to talk to for authentication and DNS.
If you decide to move away from Active Directory services, then it's a different conversation, your file share pathings (for authentication) should continue to work on your AAD machines as long as they have a line of sight to a domain controller and then you could switch over to Intune management.
If your looking at moving away from Active Directory entirely, then you need to look at your files and their permissions, as NTFS permissions go away. So you may be better off moving your files to Sharepoint/teams.