I am assuming you've already scanned the Azure SQL DB. If you haven't, then you need to scan it, in order to be able to see the lineage. (https://learn.microsoft.com/en-us/purview/register-scan-azure-sql-database?tabs=sql-authentication).

Assuming you have scanned your Azure SQL DB, and you still cannot see the lineage, it could be due to the know limitation of M-Query (https://learn.microsoft.com/en-us/purview/how-to-lineage-powerbi#known-limitations):

Lineage is not captured when you use dynamic M query parameters in Power BI, e.g. pass server/database names as parameter values.