Connect to SQL Azure containing backend for MS Access Web App

I created a simple web app using MS Access 2013. It simply had one table with sample data in it. The I launched it to my share point. Before we go ahead, I would like to tell you that I am using Office 365 enterprise version where we need to admin everything like Lync/SharePoint/Exchange etc.

So as per Microsoft blogs and articles and discussions all over, and even the following screenshot suggests that the data stored in the Office 365 is stored in a SQL Azure database for office 2013 web app.

So as the next step, the instructions over web says that if we choose "From Any Location" and enable "Read Write Connection", it should allow you to access the data from any window like SQL Server Management Window.

Ok, my credential looks like this:

Now, when I go to SQL Server Management Studio and use the above credential, and try to login, I get the following error:

I am assuming that there is some setting in our admin page I need to change which can allow me to connect. Any help? I think it seems pretty straight forward to connect it but it is not connecting.

Do we have to fix anything like BCS?

On connect server dialog at Sql Server Management Studio select options and insert the name of database that you want to connect