@Scott Bryant Have you tried checking under users as mentioned above
Under "Subscription", make sure that your subscription is associated with your Active Directory.
If your subscription is not associated with your Active Directory, click on "Change Directory" and select your Active Directory.
Once your Active Directory is associated with your subscription, you should be able to set an Azure AD admin for your SQL Database server. If you continue to have issues, you can try creating a new Azure AD user and adding them to your Active Directory, then try setting them as the Azure AD admin for your SQL Database server.
Also can you please confirm if you are looking at the right place? Are you looking for a list of users in the Active Directory? as shown below
Regards Geetha