title: How to install module Az.ManagedServiceIdentity in Self-Hosted Agent Pool in ADO
body: <p>I want to install the Az.ManagedServiceIdentity in Self-Hosted Agent Pool in ADO.
  Does it require access and Az.Connect and Az.Account commands.
  I want to create an user assigned identity using below command -
  <em>New-AzUserAssignedIdentity -ResourceGroupName PSRG -Name ID1</em>
  [I'm referring this link - https://docs.microsoft.com/en-us/powershell/module/az.managedserviceidentity/new-azuserassignedidentity?view=azps-5.8.0#examples]
  But getting Error that command is not recognized.
  Also this command does not work on Azure Agent pool as well and I'm getting the same error.
  What are the dependencies for to install the Az.ManagedServiceIdentity module.</p>