How can we improve Microsoft Azure SQL Data Warehouse ?

database level firewall

The following documentation states that a database level firewall works for Azure SQL DW databases:
https://docs.microsoft.com/en-us/sql/relational-databases/system-stored-procedures/sp-set-database-firewall-rule-azure-sql-database

However, running the syntax mentioned results in the error:
Msg 15165, Level 16, State 1, Line 1
Could not find object 'sp_set_database_firewall_rule' or you do not have permission.

Please add or fix support for the database-level firewall in Azure SQL DW

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