For those not familiar with the SQL Server Connector, it enables SQL Server to use Azure Key Vault as an Extensible Key Management (EKM) Provider for its SQL encryption keys. This means that you can use your own encryption keys and protect them in Azure Key Vault, a cloud-based external key management system which offers central key management, leverages hardware security modules (HSMs), and allows separation of management of keys and data, for additional security. This is available for the SQL encryption keys used in Transparent Data Encryption (TDE), Column Level Encryption (CLE), and Backup encryption.
When using these SQL encryption technologies, your data is encrypted with a symmetric key (called the database encryption key) stored in the database. Traditionally (without Azure Key Vault), a certificate that SQL Server manages would protect this data encryption key (DEK). With Azure Key Vault integration for SQL Server through the SQL Server Connector, you can protect the DEK with an asymmetric key that is stored in Azure Key Vault. This way, you can assume control over the key management, and have it be in a separate key management service outside of SQL Server.
Check it out, as it might be a solution to some key management issues.