Why is SQL Server Object Explorer in Visual Studio so slow?
Good tip from @eric-kang in his comment to use 'Server Explorer' instead of 'SQL Server Object Explorer' - this is much better for basic data queries as its actually usable in real time
SQL Server Object Explorer (SSDT) in Visual Studio builds a schema model of entire database when you connect a database first time. This is a concept of model based database development which provides benefits such as validating scripts against database without needing to modify the live database etc. When it comes to Azure SQL DB where the resource is limited with your database's pricing tier, the performance of executing queries to fetch database model can vary. Based on our performance tests, pricing tiers above S1/S2 provides a similar interactivity as local or on-prem SQL instance.
More in details, current SSDT's mechanism is to composite minimum number of queries to minimize the number of round-trip operations with SQL server/database hence each query execution time is longer. It affects the interactivity of SQL Server Object Explorer while the query is being executed.
To enhance, SSDT team is revising the design for Azure SQLDB to provide a faster interaction experience while keeping the benefit of model based database development.
Disclosure: I work on the SQL Data Tools team as a PM