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SQL Server User Experience Monitor Can't Connect to Azure SQL

In testing I have found that the SQL Server User Experience Monitor can't connect to Azure SQL  As best I can tell this is because Azure SQL uses dynamic ports; I found THIS article that seems to explain the issue.

I wanted to confirm if this is a known issue and if I am properly understanding the problem?  If this is the case is there any possibility of getting a component monitor that will work with Azure SQL?