How to connect Microsoft SQL Database with Active Directory Password Authentication (AD Login)
Is this an Azure SQL Database or a database on a SQL Server instance?

Active Directory Password Authentication is only available for connecting to Azure SQL Database, so it seems like you're connecting to a SQL Server instance which won't work.

Check out this article for information on the various authentication methods in SQL Server and Azure SQL Database. If you're using an SQL Server instance then it sounds like what you're looking for is Windows Authentication.

Your web application will need to use integrated Windows authentication as well, here is a link to an older article that explains how to do this.