Scenario:
”I want to secure an Azure Function using Azure Active Directory (AAD) and call it from a PowerApp using a custom connector.  There are a few different docs out there that can help me figure it out.  However, I haven’t found anything that shows how to do it beginning to end.”

While the info in this documentation is the bulk of the work:

https://docs.microsoft.com/en-us/connectors/custom-connectors/azure-active-directory-authentication#2-create-your-second-azure-ad-app-for-your-custom-connector

It is written to be more generic and broadly applicable.  It doesn’t cover Azure Functions specifically.  Nor does it show you how to establish the PowerApps custom connector.  So I pieced together what I know about Azure Functions and how you can enable AAD authentication using:

https://docs.microsoft.com/en-us/azure/app-service/app-service-mobile-how-to-configure-active-directory-authentication

…since Azure Functions are built on top of Azure App Service, with this blog post:

https://powerapps.microsoft.com/en-us/blog/cognitive-services-with-powerapps-using-custom-connectors/

…and extracted the relevant pieces to provide an end to end walkthrough:

HTH

@devkeydet