You can export your Azure database as a bacpac and save it to a local drive on on-premise computer, and then you can import the bacpac to an on-premise SQL Server 2019 instance with all cumulative updates applied. You can use SQL Server Management Studio v19 (Preview 3) to do the import and avoid issues importing the bacpac to the SQL Server instance.
You can use sqlpakage utilty to export the database to a local drive:
SqlPackage /Action:Export /SourceServerName:SampleSQLServer.sample.net,1433 /SourceDatabaseName:SampleDatabase /TargetFile:"F:\Temp\SampleDatabase.bacpac"