VB.Net application connect to SQL Azure Instance with MFA

I have a VB.NET application that has 2 routines to open databases in SQL which all worked fine until we migrated databases to an SQL Azure Instance with MFA.

The first sequence works fine with MFA and gets authenticated to show the list of databases to choose from. However, when i pick the database from the selection in the application, i cannot get the MFA prompt to authenticate again

Any help appreciated

Private connection2 As SqlConnection
    Private Sub ImageComboBoxDatabase_SelectedIndexChanged(sender As Object, e As EventArgs) Handles ImageComboBoxDatabase.SelectedIndexChanged

        TreeList1.Visible = False
        WindowsIdentity.GetCurrent()

        Dim listDataBases As New List(Of String)()
        server = ImageComboBoxDatabase.EditValue.ToString
        Dim connectString As String = "Data Source=" & server & " ; Authentication=Active Directory Interactive; Encrypt=True; Initial Catalog=master; User Id=" & User


        connection2 = New SqlConnection(connectString) ' Store the connection
        connection2.Open()

        Dim selectSQL As String = "Select name from sys.databases where name Like 'cw_%';"

        'Using con As New SqlConnection(connectString)

        Using com As New SqlCommand(selectSQL, connection2)
            Using dr As SqlDataReader = com.ExecuteReader()
                While dr.Read()
                    listDataBases.Add(dr(0).ToString())
                End While
            End Using
        End Using

        GridLookUpEditDropDown.Properties.DataSource = listDataBases        
    End Sub

Public Cnstring As String
Private connection As New SqlConnection(Cnstring)

Private Sub SimpleButtonProjectSwitch_Click(sender As Object, e As EventArgs) Handles SimpleButtonProjectSwitch.Click
          
          
            CnString = "Data Source=" & server & " ; Authentication=Active Directory Interactive; Encrypt=True; Initial Catalog=master; User Id=" & UserNameVariable
            
            'Treelist
            TreeListTableAdapter.Connection.ConnectionString = Cnstring
Me.TreeListTableAdapter.Fill(Me.Ds_TreeList.TreeList)
    End Sub

I can get it to work if i use an SQL Login username but not an authenticated user which i need