Azure SQL Server DW FQDN
Azure SQL Server DW provides a public FQDN which we can use as firewall rule destination object for our Azure SQL Server instance, but that's only the connection to the initial SQL gateway. The client is then redirected to connect to another public IP address which is the actual backend Azure SQL Server, and that second IP address is NOT resolvable via a FQDN. This forces us to use a less secure FW policy to allow SQL clients to connect to all Azure datacenters, instead of a specific FQDN.
yep, we have seen the same behaviour unfortunately despite what this article states :
"All logical servers within a cluster are accessed through the network load balancer (the single blue block with the note saying “Load balancer forwards ‘sticky’ sessions…” in the diagram) via a virtual IP address."