So the question was: how can I see who connected to my AS Azure database and what queries where send? Initially I thought of ways I used to do this in the on premises world. Capture profiler traces or XEvents by writing code and then store it somewhere for processing. It looks like was not alone in these, even the AS team itself had ways to capture XEvents and store them: https://azure.microsoft.com/en-us/blog/using-xevents-with-azure-analysis-services/
But it turns out it is much more smooth, simple and elegant by leveraging Azure’s own products. In this case we will be using Azure Log Analytics. It already documented in the official documentation here.
Click through for a demo.