All templates’ sample data are stored in a database in Azure so you can quickly check the functionality of the Excel Add-In.
If you are behind a Firewall you need to make sure that your port 1433 is not blocked.
In addition to configuring the Azure SQL Database firewall, you may also need to configure the firewall on your network and local computer. To access a Azure SQL Database database from your computer, ensure that the firewall on your network and local computer allows outgoing TCP communication on TCP port 1433. (The Microsoft Azure SQL Database service is only available with TCP port 1433.)
Further reading can be found here: http://msdn.microsoft.com/library/azure/ee621782.aspx