There is an Identity Menu item and page to enable System Assigned, however if the slot is named something generic such as dev, staging etc...Tracing it in Azure AD or configure its roles is not possible.
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@finsharp, Thanks for the question! We are taking a look into this and will get back to you soon.
Can you elaborate further on what you're attempting to trace @finsharp? I successfully added a managed identity to a web and slot apps and can see those identities in Enterprise Applications.

@RyanHill-MSFT I didn't know managed identity for slots would be [webAppName]/slots/[slotName]. As such I couldn't find the slot. Thanks :-)
Can you search by ObjectID? Is that available?
@RyanHill-MSFT after enabling the system managed identity for the azure staging web app. I couldn't able to see that in the enterprise application! In your screenshot, you can able to see that
May I know why is that for working for me? Do I need to wait for more time to reflect in the azure ad?
@jayendranarumugam I wanted to follow up to see if your system identities ever showed up?
Hi @RyanHill-MSFT thanks for the replay. It showed up after some time. Maybe we need to wait for couple of hours to reflect back in the enterprise application
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Can you elaborate further on what you're attempting to trace @finsharp? I successfully added a managed identity to a web and slot apps and can see those identities in Enterprise Applications.