This was documented indirectly in the procedures for responding to a certificate revocation:
If your client driver utilizes OS certificate store, as majority of drivers do, and your OS is regularly maintained this change will likely not affect you, as the root certificate we are switching to should be already available in your Trusted Root Certificate Store. Check for Baltimore CyberDigiCert GlobalRoot G2 and validate it is present.
If your client driver utilizes local file certificate store, to avoid your application’s availability being interrupted due to certificates being unexpectedly revoked, or to update a certificate, which has been revoked, refer to the What do I need to do to maintain connectivity section.
https://learn.microsoft.com/en-us/azure/azure-sql/updates/ssl-root-certificate-expiring
The [sqlcmd] utility uses ODBC to execute Transact-SQL batches.
https://learn.microsoft.com/en-us/sql/tools/sqlcmd-utility?view=sql-server-ver15
ODBC on Linux uses OpenSSL https://learn.microsoft.com/en-us/sql/connect/odbc/linux-mac/programming-guidelines?view=sql-server-ver15#bkmk-openssl
And on Windows it uses the Windows Certificate Store.