Errors when setting up DataDog Database Monitoring for Azure SQL DB

I’ve been following the instructions here to setup DataDog to monitor one of our Azure SQL DBs. However, when I restart the DataDog agent I see the following error in the logs:

Error running fetch_all for metrics SqlDatabaseBackup – skipping. Error: (‘42000’, “[42000] [Microsoft][ODBC Driver 18 for SQL Server][SQL Server]Reference to database and/or server name in ‘msdb.dbo.backupset’ is not supported in this version of SQL Server.

This is followed by a warning that says:

missing major_version, cannot initialize dynamic queries

I’ve tried changing various settings in the conf.yaml file and restarting the agent, but the errors are still present, and the service does not show in the DataDog service list. The DataDog agent is v7.39.1 running on an Ubuntu 20.04 VM in Azure.