I followed all the mentioned steps but couldn't get it to work with "Active Directory Password Authentication" for AD principal which is a contained user in my SampleDB. I get this error:
Cannot connect to sql01.database.windows.net.
ADDITIONAL INFORMATION:
Failed to authenticate the user user@customDomain.com in Active Directory (Authentication=ActiveDirectoryPassword).
Error code 0xCAA20003; state 10
ID3242: The security token could not be authenticated or authorized. (Microsoft SQL Server, Error: 0)
We are using Ping Federate as our federation provider.
To my surprise, "Active Directory Integrated Authentication" works for the same user. Do we need to open some firewalls or ports at our on-prem environment to make it work?