This support is planned for SQL DB Managed Instances:
ThanksStephen Coleman commented
@Guy Haycock -- Its does not work in SQL azure.Stephen Coleman commented
You can have managed SQL starting at the LOW LOW monthly price of $3500 USD for managed SQL. awesome response to this guys. Keep it up. https://docs.aws.amazon.com/AmazonRDS/latest/UserGuide/Appendix.SQLServer.CommonDBATasks.CDC.html
226 votesunder review · AdminAzure IaaS Engineering Team (Azure IaaS Engineering Team, Microsoft, Microsoft Azure) responded
This is something that we are evaluating now for a future Azure update.