Based on what I see on the authentication video shown on this Workato documentation page I can see that to connect to an Azure SQL database you have to provide the SQL login name and the database name in this format userlogin@DBase , however when you add an AD Azure user to Azure SQL you use the @ to specify the domain.
CREATE USER [bob@Company portal .com] FROM EXTERNAL PROVIDER;
So when you try to login as bob@Company portal .com where contoso is the Azure AD domain, the Workato authentication page will interpret that the contoso domain name is the database name and the authentication will fail.
Based on above judgements I will say Workato only supports SQL authentication when using the "SQL Server connector".