This support is planned for SQL DB Managed Instances:
An error occurred while saving the commentPhillip 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.