It's all very simple: Entra* (Azure AD or however you'd call it) should not be used for AuthZ. Entra AuthN is okayish, but forget about Entra AuthZ, do it all yourself. It's all very simple to avoid once you do AuthZ.
* No idea why the rename happened. Does some manager in Microsoft have the plaque: "Renomino, ergo sum."?
IMO “Azure AD” implies it is literally just AD hosted in Azure, when it’s become much more than that
It's ok to use Entra for AuthZ. Just click the box that says "Require users to be assigned to this application" and assign them [1]. However - that's really the only AuthZ feature Entra has. If you don't enable AuthZ, you should not expect Entra to just magically do AuthZ for you.
Edit: I would add - simple allow/deny authz is only relevant for the very simplest of apps (where all users have the same permissions). For any complex application, users will have different levels of access, which usually requires the application to do AuthZ.
[1] https://learn.microsoft.com/en-us/entra/identity/enterprise-...