Hi Zahid,
For the users you will need Entra Connect Hybrid setup so users are sync to Entra ID, Yes the Server/Client accessing SQL Mgmt Studio will require access to the URLs to access the Managed Instance and it is in the below link.
For authentication and supported identitied check this :
For connectivity you will need to setup Private endpoint and detailed steps are listed here - https://learn.microsoft.com/en-us/azure/azure-sql/managed-instance/private-endpoint-overview?view=azuresql&tabs=separate-vnets
For SSO Authentication you will need to setup the Entra Connect - https://learn.microsoft.com/en-us/entra/identity/hybrid/connect/how-to-connect-sso
Hope this helps.
JS
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