I have just received a similar "Action required"... email. I suspect it is a legit Azure email, but for a (easily created) bogus Entra ID.
It was delivered to my (aged) Outlook mail, and I am sure it is on many lists for spamming. The email alias readily identifies it as an Outlook/Microsoft ID.
I do have a number of Entra (aka Azure) tenants, but the GUID used in the email was not associated with anything I had. Using some online lookup tools (listed below, they "seem" legit...) revealed it to be a simple/ad hoc/quick-and-dirty generated tenant based on my MSID (or perhaps it was crafted to look similar to such a domain alias) - see an example below. Other details show the association to be bogus/random (not sure if the "Organization Name" was also hijacked from somebody else). I would presume that an email on the initial creation of this Entra ID against my MSID would be sent and require a confirmation from me; I do not have a record of it... Maybe the Entra ID creation was started 200 days prior and nothing else since has happened?
I suspect this is a form of "phishing" scam to catch people who 1) use their MSID for signing into Azure and 2) manage multiple tenants. Perhaps the goal is to get someone to think this is their Entra property and attach a credit card to it or add confidential information to it.
Alternatively, this is some convoluted means to establish an Internet presence under the hijacked/assumed MSID identity?
ex: bogus Entra ID domain (made up on the fly by me, not what I found, apologies if it matches an actual domain):
fnamelastnamelive123.onmicrosoft.com
This could be potentially associated with an Outlook email alias (aka MSID) such as:
******@live.com
ref: https://tenantidlookup.com/
ref: https://gettenantpartitionweb.azurewebsites.net/