This support is planned for SQL DB Managed Instances:
ThanksPhillip Cox commented
Totally agree, this feature should be standard for Azure SQL Database, as customers shouldn't have to be limited to something already successfully used on-premises. This type of strategy defeats purpose and any value of moving an organizations on-premises SQL Server instances into cloud. In an ideal world, SQL Server on-premise feature set should be mirrored in the Azure SQL Database offering.