Some things were easier in the good old days before Dyn365 and Azure and some are better. Often the things that were better before tends to be things we need to relearn.
Allowing firewall access to Azure SQL (for example regarding BI) is easily scripted and here are 3 useful scripts for that purpose:
List current firewall rules:
SELECT * FROM sys.firewall_rules
If you need to grant access to the IPs 184.108.40.206 to 220.127.116.11:
EXEC sp_set_firewall_rule N'The_Name_That_Will_Be_Shown_On_The_List', '18.104.22.168', '22.214.171.124';
EXEC sp_delete_firewall_rule N'The_Name_That_Will_Be_Shown_On_The_List'
The three above is all server rules so you need to run them towards the master database.
You can do the same tricks on database level:
SELECT * FROM sys.database_firewall_rules
EXEC sp_set_database_firewall_rule N'The_Name_That_Will_Be_Shown_On_The_List', '126.96.36.199', '188.8.131.52';
EXEC sp_delete_database_firewall_rule N'The_Name_That_Will_Be_Shown_On_The_List'
Remember to be run them on the desired database.
Please keep in mind that you are messing with security and I – as usual – don’t take any responsibility in any damage you might make by using the above.