If you use Azure SQL Server and you care about security, then it definitely makes sense to give users access via their Azure Active Directory account. Azure AD supports multi-factor authentication, identity protection and a lot of other security features which makes it much more secure than using a connection string.
The first thing to configure is the Admin access via Azure AD. That’s easily doable via the Azure Portal:
- Navigate to your Azure SQL Server (not the Database!)
- Open the Active Directory Admin settings:
- Go to Set Admin and configure your user. I suggest to configure a group as it gives you more flexibility