I'm not sure if this topic is still relevant for you.
A few weeks ago I ran into the same problem and couldn't find an answer anywhere.
I was able to solve the problem by enabling Custom App Authentication. For SPO tenants that were created after 07.11.2018 the authentication via ACS app-only access token is disabled by default (see screenshot and link below).
I decided to write a blog post with a step by step guide on how to move multiple files from an SPO folder to Blob Storage using Azure Data Factory, maybe you will find it usefull: copy-files-from-sharepoint-to-blob-storage-using-azure-data-factory