Perform the following in the Azure Console:

1. Go to SQL servers
2. For each server instance
3. Click on Advanced Threat Protection
4. At section Threat Detection Settings, Ensure that Send alerts to is set as appropriate.

Perform the following in Azure PowerShell:

For each Server, set Send alerts to.

Set-AzureRmSqlServerThreatDetectionPolicy -ResourceGroupName <resource groupname> -ServerName <server name> -NotificationRecipientsEmails <RecipientEmail ID>

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