How to setup a new Azure SQL database monitoring agent (without SQL PI) (4226853)

What are the steps to create a new Azure SQL database monitoring agent using the built-in database installer wizard from the databases dashboard?

This capability is included in the 5.9.5.10 and higher releases of the Azure database cartridge. This video uses a UI applicable to Azure SQL database cartridges 5.9.5.10 through 5.9.7.10 and does not include the SQL PI functionality included in the 5.9.7.20 and higher releases. For details on how to a new Azure SQL database agent which includes SQL PI please refer to KB 4232142.