You have two core choices on logins. First, you have to create a SQL login at the server level for both Azure SQL Database and Azure SQL Data Warehouse. You can’t remove this or disable it (to my knowledge, and I’ve tried), so make the password a good one (and don’t lose it). You can then create other SQL logins, but this is not a recommended best practice. In fact, I wouldn’t do it at all unless I was forced because of some third party product (few of which currently support Azure anyway).
The next choice, the preferred choice, is to set up Azure Active Directory. With Azure AD you get all the functionality you’re used to with your local AD. Further, you can federate Azure AD with your local AD to control and manage the logins from within your network. You also get multi-factor authentication with Azure AD. We are talking real security here. Read through the documentation on setting up authentication to get it right. You can do the whole thing using Powershell commands, so there’s no excuse on automating it.
There aren’t as many security-related toggles as in an on-prem product, but Grant demonstrates what is available.