Trying to connect Dynamics 365 with Azure SQL through Azure AD

I am trying to do a Dynamics 365 export into Azure Sql database. When i log into my D365 site and try to create an export profile like this i got some issues.

Firstly in my Azure Database I copy my Connection string from the connection string tab here connection string screenshot from ms doc

Than I run the powershell script that is provided from D365 export profile settings page (same tutorial) with the connection string from the azure sql database. This powershell script will deploy an keyvault if not exist into my subscription and add the connectionstring you provide into a secret.

Finally the powershell script will provide an url that you need to use inside your new export profile in D365.

So far so good. But when I try the connection string with SQL authentication and use my sql user inside my connection string I can validate the connection string inside D365. But when I use the connection string for Azure AD(the second one inside the settings in Azure Database) With my Azure Ad user inside the username. I can not validate the connection string.

I have performed the same steps as in the tutorial but can't seem to validate the connection string for Azure AD. I have looked inside my sql database and selected the permissions for my azure ad user and this has the same permissions as the sql user. Did I forget one step , is there something I did wrong ? My guess is the connection string is not the one that is provided inside the database connection string tab -- ADO.NET -- But i can't seem to figure out which one that is the right one. Specially because the SQL user worked with that connection string