After contacting Red-Gate support, I understand that individual query monitoring for Azure Managed Instance is currently not supported nor on the roadmap. Is it possible to add this feature to an upcoming release of Red-Gate Monitor?

TL;DR Below

The article below mentions the ability to track cancelled or aborted queries. This would be particularly helpful for Azure SQL Managed Instance.

Tracking Aborted Queries and Memory Grants in Redgate Monitor
https://www.red-gate.com/blog/tracking-aborted-queries-and-memory-grants-in-redgate-monitor

• Cancelled or aborted queries – immediately see when a query fails to complete, whether due to timeouts, user cancellation, or connection issues

Query Executions in Redgate Monitor
https://www.red-gate.com/hub/product-learning/redgate-monitor/query-executions-in-redgate-monitor