Hi there, that option is not available anymore (1), but there are still alternatives like export data to Excel, use third solutions or exporting the data using ‘Data Export Services’ from Azure (2) which will allow you to export the SQL database to a local copy.
More infos:
(1) Backup in Dynamics:
docs.microsoft.com/…/backup-restore-environments
(1) docs.microsoft.com/…/export-excel-static-worksheet
(2) Data Export Services:
docs.microsoft.com/…/replicate-data-microsoft-azure-sql-database
