Azure GRANT ALTER ANY EVENT SESSION What is the correct way to give someone permission to create extended event sessions in Azure SQL Server? 

I've been bouncing queries to my manager non-stop today, because when he tried to grant me permission to do it myself using the following statement:

GRANT ALTER ANY EVENT SESSION TO myUserName


He got the following errors:
Securable class 'server' not supported in this version of SQL Server. and
This property is not supported: ApplicationName.

Has anyone else ever needed to grant this permission before on an azure sql database?
Based on the documentation (here) one must have Control permission on the database to issue a CREATE EVENT SESSION and the same permission should be required for the ALTER EVENT SESSION.