Using this as an example: https://msdn.microsoft.com/en-us/library/dn935022.aspx?f=255&MSPPError=-2147217396 (Scroll down to "Create an RDBMS external data source) I created the following script...
CREATE MASTER KEY ENCRYPTION BY PASSWORD = 'STRONG PASSOWRD';
CREATE DATABASE SCOPED CREDENTIAL SQL_Credential
WITH IDENTITY = 'NewUserName',
SECRET = 'another password';
CREATE EXTERNAL DATA SOURCE MyElasticDBQueryDataSrc
WITH (
TYPE = RDBMS,
LOCATION = '<servername>.database.windows.net',
DATABASE_NAME = 'DB Name on server',
CREDENTIAL = SQL_Credential
);
It fails on the first statement regarding permissions - but I'm logged in via SQL Authentication, using the admin credential and password...
I'm executing this via SQL Mgmt Tools on my desktop, and with the correct IP address punched in the fire wall...
As admin and owner, I should have sufficient permission...
BTW.. I started down this path via this article https://azure.microsoft.com/en-us/blog/querying-remote-databases-in-azure-sql-db/ ... which is a couple of years old..