I found this article that does a great job at answering the question (but now that I went through the trouble I'll still post this here in case it helps others). It appears I was right, it is related to Azure. The UI wording is a bit confusing
Connect to Server (Database Engine) ...
Windows Authentication
Microsoft Windows Authentication mode allows a user to connect through
a Windows user account.
SQL Server Authentication When a user connects with a specified login
name and password from a non-trusted connection, SQL Server performs
the authentication itself by checking to see if a SQL Server login
account has been set up and if the specified password matches the one
previously recorded. If SQL Server does not have a login account set,
authentication fails, and the user receives an error message. When
possible, use Windows Authentication or Active Directory - Password
authentication.
Active Directory - Universal with MFA support Active Directory -
Universal with MFA is an interactive work flow that supports Azure
Multi-Factor Authentication (MFA). Azure MFA helps safeguard access to
data and applications while meeting user demand for a simple sign-in
process. It delivers strong authentication with a range of easy
verification options—phone call, text message, smart cards with pin,
or mobile app notification—allowing users to choose the method they
prefer. When the user account is configured for MFA the interactive
authentication work flow requires additional user interaction through
pop-up dialog boxes, smart card use, etc. When the user account is
configured for MFA, the user must select Azure Universal
Authentication to connect. If the user account does not require MFA,
the user can still use the other two Azure Active Directory
Authentication options. For more information, see SSMS support for
Azure AD MFA with SQL Database and SQL Data Warehouse. If necessary,
you can change the domain that authenticates the login, by clicking
Options, selecting the Connection Properties tab, and then completing
the AD domain name or tenant ID box.
Active Directory - Password Azure Active Directory Authentication is a
mechanism of connecting to Microsoft Azure SQL Database by using
identities in Azure Active Directory (Azure AD). Use this method for
connecting to SQL Database if you are logged in to Windows using
credentials from a domain that is not federated with Azure, or when
using Azure AD authentication using Azure AD based on the initial or
the client domain. For more information, see Connecting to SQL
Database By Using Azure Active Directory Authentication.
Active Directory - Integrated Azure Active Directory Authentication is
a mechanism of connecting to Microsoft Azure SQL Database by using
identities in Azure Active Directory (Azure AD). Use this method for
connecting to SQL Database if you are logged in to Windows using your
Azure Active Directory credentials from a federated domain. For more
information, see Connecting to SQL Database By Using Azure Active
Directory Authentication.
In a nutshell, the bottom three options (starting with "Active Directory") are all relevant to Azure.