Hi @Lesia Milimonka ,
Thanks for your post and apologies for the delayed response!
You cannot connect with Azure Server using Active Directory Integrated authentication from Visio. You need to use SQL authentication and by providing the username and password for the connection.
You need to specify Authentication=ActiveDirectoryPassword in the connection string as noted here and here:
server=Server;database=Database;UID=UserName;PWD=Password;Authentication=ActiveDirectoryPassword;
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