To set up an Azure SQL Server:
Create a new subnet in a VNET that will be used specifically to access the SQL server.
Create the proxy VM, attach it to this subnet, and add a publicly accessible IP to it.
Enter the SQL Database config and click “Set server firewall”.
Add a Virtual Network rule allowing access to the server from the proxy’s subnet.
On the CloudGen Access Enterprise Console, create the proxy and the DB resource using the public domain name of the Azure DB (from Azure DB config) and port 1433.
Do not forget to use the same name for the public host in the resource as the one Azure assigns; alternatively, pass the domain name of the DB server in the username (for example, user@somedb.database.windows.net while logging in).
Finally, you must change the SQL Server mode to Proxy mode, using the steps listed here. You need a CLI or PowerShell console to do so.