How to determine if WP_Customize_Nav_Menu_Item_Setting is a ‘taxonomy’ type?

It’s easy to get the type of the menu item.

Just call the setting’s value() method, which in the case of a nav menu item, would return an array with items like type (sample value: post_type or taxonomy) and object (sample value: post, page or category).

So in your case, just check whether the type‘s value is taxonomy.

$value           = $setting->value();
$underlying_type = is_array( $value ) ? $value['type'] : '';

/* Sample dump output of the $value array:
Array
(
    [menu_item_parent] => 0
    [object_id] => 1
    [object] => category
    [type] => taxonomy
    [type_label] => Category
    [url] => https://example.com/category/uncategorized/
    How to determine if WP_Customize_Nav_Menu_Item_Setting is a 'taxonomy' type? => 
    [target] => 
    [attr_title] => 
    How to determine if WP_Customize_Nav_Menu_Item_Setting is a 'taxonomy' type? => 
    [classes] => 
    [xfn] => 
    [position] => 3
    [status] => publish
    How to determine if WP_Customize_Nav_Menu_Item_Setting is a 'taxonomy' type? => Uncategorized
    [nav_menu_term_id] => 89
    [_invalid] => 
)
*/