If you're even thinking about experimenting with — let alone actively using — Azure Data Studio, you need to plan on installing a few extensions. Buck Woody has a great list that you should look through in this post. If you're just getting started with Azure Data Studio, I have an introduction here.
Depending on the extension, this could be as simple as a mouse click. However, not all the extensions are that easy. Let's explore this just a little so when you do start using Azure Data Studio, things are easy.