Azure engine and foreign keys

I am using Azure SQL databases and am having trouble with setting up foreign keys. I get the message "The selected table engine () does not support foreign keys. I have looked in the options but the engine selection is blank and gray, as well as many of the other options. I know that foreign keys are supported since I can set them up via the Visual studio database editor. It is just so slow and hard to use that I would really like to be able to use HeidiSQL.

Any help is appreciated and if you need any troubleshooting or details from me just let me know.

Ping. It seems that all I can really do from Heidi is modify data. Any other modifications to structure or tables, may or may not work but will generate errors and possibly exit program. Please help. I like Heidi so much better then the MS Azure tools!