Live Query is supported for Azure SQL as you can read in the documentation.
However, Live Query may not work well on the following scenarios:
- With short or simple queries
- With queries that are blocked by another session
- With queries executed on an Azure SQL replica
- Queries using features not supported by Live Query like triggers, dynamic SQL or cursors.
With long running queries Live Query usually works well as he is able to generate a live plan unless the query is blocked by another session or is involved on one of the scenarios I mentioned above.