I've hit the same issue as described the link below - but I can't apply the solution.
As soon as I hit save on the Integration, the Auth action is immediately set to published. So I can't modify the auth action so that Azure will accept it...
Just select/display your custom auth action.
At the bottom of the page, you probably have a "Viewing" toggle - greyed out - showing "Published" as value.
Just click on it, and it will set the action back to draft mode where you can edit it.
Once a Data Action has been published, you can't modify the Contracts. But you can always modify the Configuration (going back to Draft Mode, and then Saving and Publishing again).