This post continue to look at the differences between Azure Data Studio and SQL Server Management Studio. When you want to change the connection in query pane of SSMS you need to right click then choose Connection.
This is more convenient in ADS. The connection is on top of the query pane.
Azure Data Studio new feature Snippet is not in SSMS.
I do not find a New Query button in Azure Data Studio. In SSMS to start a new query I click on the button.
In Azure Data Studio, I only found that under the File menu.