As far as I know, only SQL Server 2019 Reporting Services can now host a database catalog used for SQL Server Reporting Services (SSRS) in an Azure SQL Managed Instance (MI) that's hosted either in a VM or in your data center.
And SharePoint 2016 is not supported by SQL server 2019 Reporting services, so we cannot store data in SQL Azure with SharePoint 2016 - Reporting Services.
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