Execute Python in SQL Server

I would like to execute Python scripts on an SQL Server (Azure SQL Managed Instance). I found this documentation which states that is is necessary to enable external scripts by this command:

sp_configure 'external scripts enabled', 1;
RECONFIGURE WITH OVERRIDE;

Unfortunately when I try to execute the command I do get the following error message:

SQL-Fehler [40510] [S0001]: Statement ‘CONFIG’ is not supported in this version of SQL Server.

Unfortunately I could not find any solution. The documentation seems to be the right one for my case. I wonder whether I may miss the rights to do this configuration change? If so – what right do I need to do the change?

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