SQL Server MERGE statement executed at Azure DB with linked server

Question

I have set up a linked server connection from my on-premise to Azure called AZURE. When I run the following code, it errors out:

DECLARE @DynamicSQL NVARCHAR(MAX)='

MERGE [AZURE].[Test].[dbo].[Persons] AS TARGET
USING [Test].[dbo].Persons AS SOURCE ON (TARGET.ID = SOURCE.ID) 

-- When records are matched, update the records if there is any change
WHEN MATCHED AND TARGET.LastName <> SOURCE.LastName OR TARGET.FirstName <> SOURCE.FirstName OR TARGET.Age <> SOURCE.Age
THEN 
    UPDATE 
        SET TARGET.LastName = SOURCE.LastName, 
            TARGET.FirstName = SOURCE.FirstName, 
            TARGET.Age = SOURCE.Age;'

EXECUTE (@DynamicSQL) AT AZURE

The error message is the following:

The target of a MERGE statement cannot be a remote table, a remote view, or a view over remote tables.

Attempted to make the MERGE statement as simple as possible for testing purposes but the same error is still returned.