Azure: Login failed for user

The problem was two keys in generated connection string by Microsoft.. You must set to "Persist Security Info" and "TrustServerCertificate" keys value: "True".

In my case, net core 3.1, I was trying to connect supplying the connection string through Configuration.GetConnectionString, that is stored in appsettings.json, the password had unicode values and the json file was saved in an encoding other than UTF-8. So, to solve the problem I had to save the json file in UTF-8 encoding and it worked.