I'm not understanding the concept of login/user on Azure
Simple explanation :

A login is an access to a server. It does not necessarily mean access to a database.

When you create a user from a login in a database and grant access (explicit or using a role), the login is able to access a given database/s.

What you are doing is incorrect since you are inside a database and then trying to change the password for a login.

YOu should be in master database to change a login's password - provided you have rights to do it.