Hi,
I was getting the same error and in the end, I managed to sort it out.
The main problem was the connection string which I was copying straight from Azure, providing the user and password accordingly.
It was clear the connection string is the problem and I had to find a way of getting the correct one. Looking around, I noticed the Tools button and the option to open
in Visual Studio.

Provide the user and pass:

After you’re logged in, select your server in the SQL Server Object Explorer window, right click on it and select Properties. In the properties window, you will see
the connection string.

After I used this connection string I was able to validate the KeyVault URL.
Hope it helps!
Adrian