Please see the prerequisites section within this document – YOU MUST do this else you will not be able to use this feature. https://docs.microsoft.com/en-us/azure/log-analytics/log-analytics-azure-sql#prerequisites
Once setup it should take approximately 15 minutes to start capturing and rendering back some data. Don’t be surprised if it does take a little longer as was the case for myself.
My biggest complaint is about the visuals; otherwise, this looks like the beginning of a solid monitoring solution within Azure SQL Database.