How do I add Azure Active Directory User to Local Administrators Group
You can do this via command line! I just had this same issue and after searching and getting nothing but "you can't" from everywhere, I (for giggles and grins) tried this through the command line and IT WORKED!!
Login to the PC as the Azure AD user you want to be a local admin. This gets the GUID onto the PC.
Log out as that user and login as a local admin user.
Open a command prompt as Administrator and using the command line, add the user to the administrators group. As an example, if I had a user called John Doe, the command would be "net localgroup administrators AzureAD\JohnDoe /add" without the quotes.
Log back in as the user and they will be a local admin now.