Importing a Database into VS Code

Are you being blocked by SQL Firewall? IP firewall rules - Azure SQL Database and Azure Synapse Analytics | Microsoft Learn

You may need to add your local IP to the Server Firewall rules in order to connect. In Azure Data Studio I believe in the output window there is a drop down option for sqlcmd or a SQL Service which can give you a more detailed error message as to what is being blocked. Hope this helps.