The warnings you are seeing are probably due to a combination of order of events + timing (there was a period where MSSQL (child dependency) and tedious (great grandchild dependency) supported Node 20 but a great-great-great-grandchild azure dependency did not (or something along those lines)
mssql-plus is fully functional on node 20 and has been for some time. I am not on a computer so cant easily hunt down the issues or start digging etc, but it is there somewhere (Im sure )
You probably just need to remove/re-install the node so that the sub dependencies are updated according to semver rules.
what does npm list @azure/msal-node
show?