Hi Felipe,
If you look at this article. it covers profile containers with Azure Files and Entra ID (Azure AD), however this is for hybrid user identities for Entra joined or hybrid joined session hosts.
https://video2.skills-academy.com/en-us/azure/virtual-desktop/create-profile-container-azure-ad
For the scenario you are asking for, I believe it is on the roadmap, so keep an eye out for this next year
Hope this helps