🐛 Describe the bug

See example CI test result:
https://github.com/pytorch/data/actions/runs/3496367745/jobs/5854203850#step:13:527

To resolve it, we need to properly set environment variables AZURE_CLIENT_ID, AZURE_TENANT_ID and AZURE_CLIENT_SECRET as shown in https://github.com/Azure/azure-sdk-for-python/blob/main/sdk/identity/azure-identity/TROUBLESHOOTING.md#troubleshoot-environmentcredential-authentication-issues

To temporarily mitigate the problem, I am going to skip the test

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