So I tried this, and in my first test I saw the same thing as Derek. That is, I saw "Waiting for Query Plan" and when I got it, all was completed. But then I made a small modification to my query, and this time I saw a few updates. (This was a query that completes in a few seconds.)
One thing to keep in mind is that with Live Query Plan there is a lot going forth and back, and you typically have a lot higher latency with Azure SQL Database than with an on-prem database.