Information last updated: 2/15/2018
Migrating your applications from SQL Server to Azure SQL Database comes with many benefits. However, there are a few potential issues that you need to consider when making the switch. Microsoft offers the following note in their documentation.
There is a small subset of features on SQL Server that are not applicable or not available with SQL Database. See SQL Database Features and SQL Database Transact-SQL information for more information. If you are moving an existing SQL Server solution to the cloud, see Migrating a SQL Server database to Azure SQL Database. When you migrate an existing on-premises SQL Server application to SQL Database, consider updating the application to take advantage of the capabilities that cloud services offer. For example, you may consider using Azure Web App Service or Azure Cloud Services to host your application layer to increase cost benefits.
In other words, make sure you review the following links before you migrate from SQL Server to Azure SQL Database.