Top 3 features NOT supported by Azure SQL databases

1. AlwaysOn Availability Groups
   Nope – You can use failover groups and active geo-replication instead of AG groups.
2. Linked servers
   Nope – You can use Elastic query instead of linked servers.
3. Event notifications
   Nope – You can use alerts instead of the backup command.

This list was taken from Azure SQL Database features 9/22/2017.
Watch for updates as features are added or replaced with alternatives.