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.
The SQL Server Connector is especially useful for those using SQL Server-in-a-VM (IaaS) who want to leverage Azure Key Vault for managing their encryption keys. SQL IaaS is the simplest way to deploy and run SQL Server, and it is optimized for extending existing on-premises SQL Server applications to the cloud in a hybrid IaaS scenario, or supporting a migration scenario.
Read on for more details.