Perform the following in the Azure Console:

1. Go to SQL servers
2. For each server instance
3. Click on Auditing
4. Set Auditing to On

Perform the following in Azure PowerShell:

Get the list of all SQL Servers.
Get-AzureRmSqlServer

For each Server, enable auditing.
Set-AzureRmSqlServerAuditingPolicy -ResourceGroupName <resource group name> – ServerName <server name> -AuditType <audit type> -StorageAccountName <storageaccount name> 

References:

1. https://docs.microsoft.com/en-us/azure/security-center/security-center-enable-auditing-on-sql-servers
2. https://docs.microsoft.com/en-us/powershell/module/azurerm.sql/get-azurermsqlserverauditing?view=azurermps-5.2.0
3. https://docs.microsoft.com/en-us/powershell/module/azurerm.sql/set-azurermsqlserverauditingpolicy?view=azurermps-5.2.0
4. https://docs.microsoft.com/en-us/azure/sql-database/sql-database-auditing