SMO example using an AD (or AAD) username and password for authentication

Connect-SmoWithPassword.ps1

$Server     = "myazuresqlserver.database.windows.net"
$Database   = "MyDatabase"
$Credential = Get-Credential

# Step 1, create the SqlConnectionInfo object
$ConnectionInfo = [Microsoft.SqlServer.Management.Common.SqlConnectionInfo]::new($Server)
$ConnectionInfo.DatabaseName   = $Database
$ConnectionInfo.Authentication = [Microsoft.SqlServer.Management.Common.SqlConnectionInfo+AuthenticationMethod]::ActiveDirectoryPassword
$ConnectionInfo.SecurePassword = $Credential.Password
$ConnectionInfo.UserName       = $Credential.UserName

# Step 2, create the ServerConnection object
$ServerConnection = [Microsoft.SqlServer.Management.Common.ServerConnection]::new($ConnectionInfo)

# Step 3 Create the SMO Server object
$ServerInstance   = [Microsoft.SqlServer.Management.Smo.Server]::new($ServerConnection)

# (Optional) Step 4 Get an object representing the target database
$DatabaseInstance = $ServerInstance.Databases | where Name -EQ $Database