Cannot set secret value in Azure Key Vault

Likely a permissions issue. Try the following:

Set-AzureRmKeyVaultAccessPolicy –VaultName ‘{your vault name}’ –UserPrincipalName ‘{your account email}’ –PermissionsToKeys all –PermissionsToSecrets all

The problem you are having is that you are not creating a key to attach a secret to, You need to call Add-AzureKeyVaultKey to create that key. Like this...

$vault = Get-AzureRmKeyVault    

$secretvalue = ConvertTo-SecureString 'Pa$$w0rd' `
              -AsPlainText -Force  

$key = Add-AzureKeyVaultKey -VaultName $vault.VaultName `
              -Name Test01 `
              -Destination Software   

(Get-AzureKeyVaultSecret -VaultName $vault.VaultName `
              -Name test01).SecretValueText  

which returns

Pa$$w0rd