Thanks for using Microsoft Q&A forum and posting your query.
As Synapse dedicate SQL pool doesn't support Foreign Key constraints, your BI tool (Cognos) cannot determine the relationships automatically. In such case, you will have to manually create relationship in your BI (Cognos) tables/datasets after importing the Synapse tables.
Here is a SO thread where a similar topic has been discussed: Relationships in Azure synapse (DWH)
[Please note my knowledge on Cognos is very minimal, and if you need more assistance regarding the relationships in cognos, I recommend reaching out in Cognos community forum]
Hope this info helps.