See the explanation below.
Explanation
Provision an Azure Active Directory administrator for your managed instance Each Azure SQL server (which hosts a SQL Database or SQL Data Warehouse) starts with a single server administrator account that is the administrator of the entire Azure SQL server. A second SQL Server administrator must be created, that is an Azure AD account. This principal is created as a contained database user in the master database.
1. In the Azure portal, in the upper-right corner, select your connection to drop down a list of possible Active Directories. Choose the correct Active Directory as the default Azure AD. This step links the subscription-associated Active Directory with Azure SQL server making sure that the same subscription is used for both Azure AD and SQL Server. (The Azure SQL server can be hosting either Azure SQL Database or Azure SQL Data Warehouse.)

2. Search for and select the SQL server SQL10543936

3. In SQL Server page, select Active Directory admin.
4. In the Active Directory admin page, select Set admin.

5. In the Add admin page, search for user [email protected], select it, and then select Select.
(The Active Directory admin page shows all members and groups of your Active Directory. Users or groups that are grayed out cannot be selected because they are not supported as Azure AD administrators.

6. At the top of the Active Directory admin page, select SAVE.

Reference:
https://docs.microsoft.com/en-us/azure/sql-database/sql-database-aad-authentication-configure?

To ensure the loading user has enough memory to achieve maximum compression rates, use loading users that are a member of a medium or large resource class.
References:
https://docs.microsoft.com/en-us/azure/sql-data-warehouse/guidance-for-loading-data

Explanation
Use the Azure Key Vault, not the Windows Certificate Store, to store the master key.
Note: The Master Key Configuration page is where you set up your CMK (Column Master Key) and select the key store provider where the CMK will be stored. Currently, you can store a CMK in the Windows certificate store, Azure Key Vault, or a hardware security module (HSM).

References:
https://docs.microsoft.com/en-us/azure/sql-database/sql-database-always-encrypted-azure-key-vault

All file formats have different performance characteristics. For the fastest load, use compressed delimited text files.
Reference:
https://docs.microsoft.com/en-us/azure/sql-data-warehouse/guidance-for-loading-data

Explanation

Box 1: Azure Cosmos DB
The DocumentClient.CreateDatabaseAsync(Database, RequestOptions) method creates a database resource as an asychronous operation in the Azure Cosmos DB service.
Box 2: Master Key
Azure Cosmos DB uses two types of keys to authenticate users and provide access to its data and resources:
Master Key, Resource Tokens
Master keys provide access to the all the administrative resources for the database account. Master keys:
* Provide access to accounts, databases, users, and permissions.
* Cannot be used to provide granular access to containers and documents.
* Are created during the creation of an account.
* Can be regenerated at any time.