Load a file into a "Azure Database for MySQL" instance of MySQL

Question

I'm trying to load some data into a brand new instance of "Azure Database for MySQL". I've been provided with data files and a loading script that includes LOAD DATA INFILE statements. This gives me an "access denied" error:

Error Code: 1045. Access denied for user 'admin_tw'@'%' (using password: YES)

As per this issue, I think I'm supposed to:

1. Use the LOCAL option
2. Place the data files in an Azure Storage File Share
3. Map the share to a local drive (on my machine, I assume, since there doesn't seem to be any way to run powershell on the MySQL server itself...)

Having done all this, I now get another error message:

Error Code: 2068. LOAD DATA LOCAL INFILE file request rejected due to restrictions on access.

A quick Google suggest that the issue may be a default setting that I need to change. However, when I run SHOW GLOBAL VARIABLES LIKE 'local_infile'; it comes back as ON already.

Quickly running out of ideas. Can anyone see what I'm doing wrong?