Microsoft Azure Login Failed
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I had the same issue (Login failed for user 'myUserName) trying to set up the connection between my webmatrix azure web app to my azure sql database. Had no problem connecting into the azure sql database using sql server management studio. So I knew that my username and password were ok.
My problem was different, but related: I was trying to connect to a Azure SQL database by using SQL Server Management Studio (SSMS) with a contained user.I was getting a "Login failed for user" message in SSMS.
Figure 2, cannot login to Entity Framework Core database hosted on Azure SQL via an ASP.NET Core Web Application, Login Failed OK, fair is fair that I could not login, but perhaps stating the database does not exist at all would have moved me forward a bit faster.
Re: Azure Activity Log missing legacy auth failed attempts or account lockouts for AAD Powershell Update 12/11/2017 - Microsoft Premier Support said this is working "by design" and will either provide a public facing article that states this and/or will open a "Design Change Request" to log these legacy authentication failure events.
Microsoft Azure , SQL Azure > Azure SQL Database Login failed for user 'MyUser'. [SqlException (0x80131904): Login failed for user 'MyUser'.] System.Data.SqlClient.SqlInternalConnection.OnError(SqlException exception, Boolean breakConnection, Action`1 wrapCloseInAction) etc. assumed that