If USER1 doest not specify databases in connection, we get connection error Cannot connect to xxxx.xxxx.database.windows.net. Login failed for user 'NT AUTHORITY\ANONYMOUS LOGON'. (Microsoft SQL Server, Error: 18456)
As per MSDN BOL documentation here
Reason:
Generally the user does not have permission to connect to a database
(i.e. Azure AD user has not been granted CONNECT permission to a database he tries to connect to.
Solution:
Please check user connect permission
For further your ref Quickstart: Azure SQL Database: Use SQL Server Management Studio to connect and query data , How to create a linked server to an Azure SQL database and Azure SQL Database and SQL Data Warehouse access control
