Explanation

You can provide authorization credentials by using Azure Active Directory (AD), or by using a Shared Access Signature (SAS) token.
Box 1:
Both Azure Active Directory (AD) and Shared Access Signature (SAS) token are supported for Blob storage.
Box 2:
Only Shared Access Signature (SAS) token is supported for File storage.
Reference:
https://docs.microsoft.com/en-us/azure/storage/common/storage-use-azcopy-v10