Only Azure SQL Managed instance and On-Prem SQL server Database is supported.
Please make sure you have Azure SQL Managed instance, not Azure SQL Database.
You may notice following errors in service logs:
Error Could not find stored procedure 'master.dbo.xp_instance_regread'. Creating the ChangeAuditor database... on line 152 executing SQL:
SQL error(2812): Could not find stored procedure 'master.dbo.xp_instance_regread'.Creating the ChangeAuditor database...;
Error ODBC error: State: 28000: Error: 18456 Message:'[Microsoft][ODBC Driver 17 for SQL Server][SQL Server]Login failed for user '##MS_InstanceCertificate##'.'.
ALTER DATABASE statement failed. on line 2 executing SQL:
ALTER DATABASE [ChangeAuditor] SET MULTI_USER