Quite a mouth full for a title but never the less very exciting. With the new version of SQL Server Management Studio (SSMS) 17.2 You now have the option to use Azure AD authentication for Universal Authentication with Multi-factor authentication (MFA) enabled, by that I mean use a login via SSMS that is enabled for MFA where below I will show you the two step verification using a push notification to my iPhone. (Yes iPhone I love it)
Setting up AD authentication with Azure SQL Database sounds simple, it is assuming you plan carefully. I did run into issues but once rectified it felt great using AD authentication in Azure rather than just SQL logins.