I tried to use OAuth with Azure AD based on this example:
https://github.com/confluentinc/confluent-kafka-dotnet/blob/master/examples/OAuthOIDC/Program.cs

However, when I run that sample code with my own setting values, I receive error:
SASL authentication error: Authentication failed: 1 extensions are invalid! They are: logicalCluster: CLUSTER_ID_MISSING_OR_EMPTY

The Confluent Cloud documentation mentions two additional extension configurations, extension_logicalCluster and extension_identityPoolId.
https://docs.confluent.io/cloud/current/access-management/authenticate/oauth/configure-clients-oauth.html

When I add these two settings to the configuration, it works fine.

var config = new ConsumerConfig
{
    ...,
    SaslOauthbearerExtensions =  "logicalCluster=lkc-abc12,identityPoolId=pool-xyz0"
};

So, it looks like this needs to be added to the sample code, unless there is a way to avoid the need for these additional settings.