Azure SQL Database limitations

Some of the database and T-SQL limitations in Azure SQL are:

• No Windows authentication on Azure SQL.
• No Extended stored procedures and table partitioning.
• No support for database mirroring and failover clustering.
• No point-in-time restore as in SSMS.
• Does not support Common Language Runtime (CLR) like views, stored procedures, triggers, and user-defined functions.
• The FILETABLE and FILESTREAM options are not available in the CREATE DATABASE command.
• CREATE LOGIN and ALTER LOGIN supports limited features.
• T-SQL syntax for server-level permissions such as GRANT, REVOKE, and DENY not supported.
• Database diagrams are not available.
• System stored procedure sp_helpuser not available.
• T-SQL debugging.
• USE statement to change database. Create a new connection to that database instead.

Refer the T-SQL differences between SQL Server and Azure SQL Database for a complete reference.