Remote Management Wizard Not Showing On First Use
I managed to reset the device so the Remote Management wizard comes back up on device setup. I believe the steps that fixed it were:


Turn off mac
Unassign device from MDM in ABM
Re-assign device to MDM in ABM
Assign profile again in Intune
Sync devices in Intune
Reinstall macOS via Delete Macintosh HD - Data volume delete method


Though now I'm left with an unusual credential prompt. I have no idea what identity it expects. ABM is federated with Azure AD and as this isn't an Office 365 login screen that rules out corporate credentials. It's not an ABM credential either. Hrm!