You need to provision an Azure AD Admin for the SQL Server.
In the Azure portal, type SQL Server in the search box, select SQL Server from the search results then select the server named web11597200. Alternatively, browse to SQL Server in the left navigation pane.
In the SQL Server properties page, click on Active Directory Admin.
Click the Set Admin button.
In the Add Admin window, search for and select Danny11597200.
Click the Select button to add Danny11597200.
Click the Save button to save the changes.
Reference:
https://docs.microsoft.com/en-us/azure/azure-sql/database/authentication-aad-configure?tabs=azure-powershell