First, you need to create a copy of your SQL Azure Database on the same as the original.
After that, run this script on your database:
ALTER MASTER KEY REGENERATE WITH ENCRYPTION BY PASSWORD = [password here];
Then, make sure to follow the steps from 2 to 5 in your question, which are:
- Export the copy-version (completely inactive from user interaction) to blob storage
- Download the .bacpac file from blob storage to my local drive
- In SSMS (October 2016 release) my local sql server instance, right click Databases and choose 'Import Data Tier Application'
- Choose my recently downloaded bacpac file and start the import