Zapier & MS SQL - Use azure DB to increase security?
Azure connections are encrypted (SSL/TLS) by default when connecting to Azure SQL Database although it is vulnerable to man-in-the-middle attack.

You have many choices to increase security. You can use Transparent Data Encryption (TDE) as explained here. You can also use dynamic data masking, row-level security, Always Encrypted and Cell-level encryption.

To receive alerts over anomalous activities with your Azure SQL Database you can enable Threat Detection.

Finally, you can make use of Azure Active Directory authentication and multi-factor authentication to enhance security.