Azure SQL Database lets you set a user as an Active Directory Admin. This allows you to log into the database using your microsoft account credentials. I would like to use an Azure security group instead of a single user so that multiple people in our domain can be Azure SQL DB admins.
I've tried creating an Azure security group "TestGroup" and using it in the Azure configuration. I can successfully set "TestGroup" as the Active Direcory Admin in the Azure portal for the DB, but when I try to log into the DB using SQL Server Management Studio, it doesn't let me in. I confirmed my user is in this group.
This is the error it returns:

