I've gone through and created an app registration, created an identity to the SQL Server and assigned Directory Readers permission to the Azure SQL Server (on a VM). Created the contained user and can connect to the SQL Server on the VM via the Client ID and secret via the Microsoft Entra Service Principal Authentication.
However, when attempting to create the Data Source (Microsoft 365 Admin Center) in the Search & Intelligence > Data Source > Azure SQL Database --> I've tried adding the Public IP Address, the DNS to the Server field but to no avail.
How should the Server text be constructed?
I've entered the Server string as: Public IP Address, DNS. Preceded it with tcp:, added port 1433
The format you use for the Server field when adding your Azure SQL Database is crucial. Since you've tried using both the Public IP Address and the DNS, and even went ahead with the technical approach of prefixing with "tcp:" and specifying the port, you're definitely on the right track.
The standard format for this field should indeed start with "tcp:", followed by your server's address (either the DNS name or the IP address), and then, you should specify the port number after a comma. So it looks something like this: tcp:your_server_address,1433.
If you've already followed this format and it's still not cooperating, here are a few things you might want to double-check:
If after all these checks you're still hitting a wall, it might be worth reaching out to Azure support.