To me it sounds like you have an Azure SQL instance, not an Azure SQL Managed Instance.
Did a quick google and found this document from Microsoft:
If you scroll down a bit, it states that "Cross-database/three-part name queries" are supported. Even Cross-database transactions are supported within the same instance.
EDIT - was just looking at my Azure portal, and when I look at the plans for an Azure SQL Managed Instance, my only option is "Azure SQL Managed Instance". Could be that I am not on the enterprise VS subscription, but thinking it may be something with your setup.
The above is all just my opinion on what you should do.
As with all advice you find on a random internet forum - you shouldn't blindly follow it. Always test on a test server to see if there is negative side effects before making changes to live!