When you create a new Azure database, you usually need to open the firewall to remotely administrate or query this database with SSMS. An option is to create rules from the Azure Portal. It’s surely a convenient way to do it when you create a database but I prefer to keep a minimum of tools and when the Azure portal is not open, I prefer to not have to open it just to define a few firewall rules.
Opening the firewall with SSMS is a kind of chicken and eggs problem: to connect to your database/server, you need to open the firewall. Hopefully, SSMS has a great suite of screens to call the underlying API of Azure Portal and open the firewall for the computer running SSMS.