Perform the following in the Azure Console:

1. Go to SQL servers
2. For each server instance
3. Click on Advanced Data Security
4. At section Threat Detection Settings, Set Threat Detection types to All

Perform the following in Azure PowerShell:

For each Server, set ExcludedDetectionTypes to None.

Set-AzureRmSqlServerThreatDetectionPolicy -ResourceGroupName <resource groupname> -ServerName <server name> -ExcludedDetectionType None

References:

1. https://docs.microsoft.com/en-us/azure/sql-database/sql-advanced-threat-protection
2. https://docs.microsoft.com/cs-cz/powershell/module/azurerm.sql/get-azurermsqlserverthreatdetectionpolicy?view=azurermps-5.2.0
3. https://docs.microsoft.com/en-us/powershell/module/azurerm.sql/set-azurermsqlserverthreatdetectionpolicy?view=azurermps-5.2.0