For onpremise you need the OnPremise Data Gateway so you can connect to the source.
As for it not giving you answers this becomes a little more difficult because, it's not a table scanner so it's not just going to spam read your table, you need it to be able to Index your data unto itself so it can answer.
if it fails to be able to index anything, even if the connector is able to connect, you will see zippo.
Are you using Gen AI etc and Agent Orchestration (all of which require some variation supporting RAG (ugg I hate that name)
You may have to look into configuring your Topics and or Instructions to support fall back into a Tool that uses a Flow (Agent Flow or otherwise) that essentially runs a query to the data directly to answer.
But just connecting isn't enough.
For SQL Azure, it should (over time not instantly) index the data so you should be able to get answers, however it can depend on the number or rows, indexes, views you use I mean different things. You could also replicate your OnPremise to SQL Azure and it would work OOB (in theory it would)
If these suggestions help resolve your issue, Please consider Marking the answer as such and also maybe a like.
Thank you!
Sincerely, Michael Gernaey