@Bruce Sheng Jun Wu - Thank you for posting query in Microsoft Q&A Platform.
Directly to load from FTP server using Last modified files files inside copy activity is not possible for FTP source at this moment. Click here to know about available fields for FTP source in copy activity.
You should have logic of filtering your last files first using GetMetaData activity, ForEach activity & IF activity etc. and then perform copy of that files alone.
Below link has similar implementation discussed. Kindly check it. https://stackoverflow.com/questions/50298122/azure-data-factory-incremental-data-load-from-sftp-to-blob
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