Perform the following in the Azure Console:

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

Perform the following in Azure PowerShell:

Enable Advanced Data Security for a SQL Server.

Set-AzureRmSqlServerThreatDetectionPolicy -ResourceGroupName <resource groupname> -ServerName <server name> -EmailAdmins $True

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