I have been using "normal" postgres for many years now and I have become quite used to being able to cancel (ctrl-c) long-running queries I started from a client (psql).
When I try this when I am connected to an Azure postgres database, psql states that the signal was sent, but the query is not cancelled. To cancel it, I have to open another session and run a pgcancelbackend(pid) on it.

Please implement support for handling Ctrl-c signals to cancel queries.

Update:
I raised this as a support ticket and was informed by the support-engineer that this was indeed a weakness in the proxy:

"CTRL+C signal (SIGINT) is not propagated to real Azure database for PostgreSQL server because the proxy server."