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You will need to get a VM in your own Azure subscription to get that kind of access. At that point you get an admin account to the VM, and you would be able to open firewall rules through your own Azure subscription portal - and of course be responsible for security and preventing any unauthorized access to that database (read: exposing your SQL to the world wide web is a risky proposition unless you can at least limit connections to certain IP ranges).
For obvious security reasons, the VMs deployed through Microsoft's subscription won't allow you to enable these inherently risky options - so no admin account either.
Thanks a lot Joris. Should I open a ticket if I want Microsoft to turn on those settings including the firewall? We have a Microsoft managed environment
I hope you are aware of the fact that you cant access production db in cloud version directly to create any reports. So even if you team access SQL in VM's which are deployed in your own subscription , you still have to figured out a way to get data out of prod DB. Currenctly available options are
1. BYODb - docs.microsoft.com/.../export-entities-to-your-own-database
2. Entity Store - docs.microsoft.com/.../power-bi-integration-entity-store
3. Entity store in Data Lake - docs.microsoft.com/.../entity-store-data-lake
and of course you can use other options like Odata connectivity to create power BI reports - us.hitachi-solutions.com/.../
There is no point in filing a ticket, anything Microsoft managed will stay where it is as far as access rights, firewalls, etc. The team does not want to take on those risks or manage them per customer at the scale we operate. If you need that kind of control, you should deploy into your own subscription where you can (hopefully safely and securely) deal with these settings.
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