when I tried it on my own computer, the step asking for credentials came up. I think your problem is network based. To understand this, you should telnet from your computer and check if that port is allowed to exit on your computer.

Step 1: Cmd > appwiz.cpl > turn windows features on or off > select and install telnet client

Step 2: Cmd > telnet trainingazure1.database.windows.net 1433 If the result returned is that the connection could not be opened, it means that the network you are on does not have access to sql from 1433. If you are sure that you are trying from behind a firewall, you should ask the system administrator to define a rule for 1433 and allow it.

You are trying from a company network, you can test this by trying from a place that is not restricted for testing.

For security reasons, ports other than standard ports (80,443,21,22,3389) may be closed, I suggest you make sure by trying.

If there is no solution, if you provide more information, we can try to understand the situation more.