The documentation clearly states, that go-sqlcmd does only support the -G switch when on Windows.
https://learn.microsoft.com/en-us/sql/tools/sqlcmd/sqlcmd-utility?view=sql-server-ver17&tabs=go%2Cwindows-support&pivots=cs1-bash#-g-1
Microsoft Entra interactive authentication isn't currently supported on Linux or macOS.
The -G option correctly works when run under Windows bash.
The -G option ist not correctly recognized when sqlcmd is run as an inferior process from eg. within Emacs on Windows (not wsl!) and sqlcmd prints
mssql: login error: Integrated Security not supported.
mssql: login error: Integrated Security not supported.
(two times)