SQL on Azure Databases are very popular for us and our customers.
Currently it's not possible to kill connections from ArcGIS Pro with the sde user. A command directly with the SQL Database Administrator is needed (https://community.esri.com/t5/cloud-computing-questions/azure-sql-paas-user-sde-can-t-kill-connectio...)
WISH and NEED: Allow connections to be killed from ArcGIS Pro. Many GIS Administrators are not able and not allowed to use SQL server management studio, select the right database etc.
And at least there should be a more informal message like "it's not supported"