On a managed instance, no SQL-Server-spanning processing is possible. Therefore, the History database (HDB) and user database must be on the same server in such a case.
However, the prohibition of distributed transactions is taken into account when importing procedures (installation) and not only when executing them.
This is a product defect (33307).
This will be fixed in a future release of the product. If you require this immediately corrected, please contact Support for a hotfix referencing the defect ID 33307.