I always use Import/Export Feature which seems to be the easiest one among all.
Step 1:
Get the backup from the azure instance as follows, Select the database → Right click → Tasks → Export Data Tier Application.
Step 2:
Give a specific name for the backup file and save it in your desired location
Step 3: That's it you have taken a backup of the database from sql instance to your local. Lets restore it to the local. Copy the backed up database to your C drive. Now open the PowerShell with administrator rights and navigate to C drive
Step 4: Lets download the powershell script to remove the master keyRemoveMasterKey.ps1 have the script on the same drive in this case its C.
Step 5 : Run the script as follows,
.\RemoveMasterKey.ps1 -bacpacPath "C:\identity.bacpac"
That's it, now you can restore it on MSSQL 2017 in your local environment.
Step 6: Connect to your local server, and click Databases → Import-Data-Tier-Application
Step 7 : Give a name for your database to restore.
Now you will see everything in green!
Read my blog with diagrams.