On all Azure SQL PaaS database options (DTU model, vCore model, Serverless, Managed Instance, Hyperscale) and Synapse you will have that constraint. Even tools like SQL Server Management Tools (SSMS) that once had a Debugger integrated it no longer has it.
Microsoft Visual Studio Community Edition has a Transact-SQL Debugger you can use. Read here for more information.
In addition, Azure Data Studio has a Profiler Extension that helps a little bit to determine the sequence of instructions that were executed to produce a result set but won't help you to watch the values of variables.
If all this is painful for you maybe your organization should consider choose a SQL Server VM (IaaS) instead of PaaS.
You can also export Azure SQL Databases to a local developer environment and do debugging locally.
Finally, if you need to debug on Production use PRINT or SELECT statements of T-SQL to watch the values of variables or display intermediate result sets. You can also save intermediate results or outputs into a temporary table or log table.