Azure SQL is based on SQL Server, they share many similarities in functionality but it doesn’t mean that both are the same. Azure SQL is not exactly the cloud version of SQL Server.Azure SQL is a subset of SQL server which means some features that are present in SQL server are not present in SQL Azure.
Azure SQL is designed for developers of SQL who can use it easily for communication and authentication. That's why there is not much difference in terms of programming. In many cases, you’ll have to simply change the value of a parameter in the connection string to access Azure SQL.
In SQL Server, your application interacts directly to the server over LAN and uses Tabular Data Stream protocol over TCP/IP or HTTP. and it can also communicate on any configurable port and does not really require transport security.