Welcome to Microsoft QA Joseph,
You can export the Azure SQL Database as bacpac using sqlpackage utility as shown below:
SqlPackage /Action:Export /SourceServerName:SampleSQLServer.sample.net,1433
/SourceDatabaseName:SampleDatabase /TargetFile:"F:\Temp\SampleDatabase.bacpac"
You can also use PowerShell.
$exportRequest = New-AzSqlDatabaseExport -ResourceGroupName $ResourceGroupName -ServerName $ServerName `
-DatabaseName $DatabaseName -StorageKeytype $StorageKeytype -StorageKey $StorageKey -StorageUri $BacpacUri `
-AdministratorLogin $creds.UserName -AdministratorLoginPassword $creds.Password
Once the bacpac is on your local drive, you can import it to a local SQL Server 2019 instance that has all the latest updates applied.
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Traducción al español.
Tu puedes exportar la base de datos de Azure SQL a tu disco local en tu computador usando el SqlPackage utility or PowerShell como te muestro arriba.
Cuando ya tengas el bacpac en tu PC, puedes importarlo en una instancia SQL Server 2019 que tenga los últimos updates (actualizaciones).