Please set the encryption=yes on the connection string.
When you create a new server in Azure SQL Database a server-level firewall blocks all access to the public endpoint for the server (which is accessible at mysqlserver.database.windows.net). You can create a firewall rule using the Azure portal to allow specific IP addresses to access the database server or databases as explained here. Make sure to set "On" the button named "Allow Azure services and resources to access this server" as you can see in the same documentation.