I have the same issue and it appears that this is related to the MySQL Shell. Not the classic mysql.exe command line tool. I try to connect to my MySQL Azure database from within the MySQL Shell as follows:
mysql-sql> \sql
mysql-sql> \connect -c myuser@myserver.mysql.database.azure.com
Creating a Classic Session to 'myuser@myserver.mysql.database.azure.com'
Enter password: *********
ERROR: 2001 (28000): The connection string may not be right. Please visit portal for references.
mysql-sql>
According to the Azure docs (as referenced above) one should give the username as "username@servername" but there is no way to specify this using the MySQL Shell.
Has anyone succeeded in connecting to an Azure MySQL db via the MySQL Shell?
I can add that I have tested the same connection info with the classic mysql.exe and the following works fine:
mysql.exe -u myuser@myserver -h myserver.mysql.database.azure.com -p
My guess is that the real issue is that the MySQL Shell cannot accept an at sign (@) in the username.