Let's start from the base that the type of authentication does not have any relationship with the creation or not of the database.
In addition, if EF does not create the database, unless you define it in the initialization configuration
Database Initialization Strategies in Code-First
but you could define other strategies such as being updated in case of finding a difference with the model or simply not doing anything (with which you would have an exception).
On the one hand is the way you authenticate and another would be the Source and Database that you define in the connection string, you could define two different forms of authentication (integrated to windows or by means of username and password) and both connect normally to the same database.