When you test the connection to the Data Lake Gen2 from the linked service in Azure Data Factory, it uses the managed identity of the Data Factory by default.
Since you have configured the linked service to use the system-assigned managed identity of the Data Factory, the test connection will use this identity to connect to the Data Lake.
The "Unauthorized" error message indicates that the managed identity does not have the necessary permissions to access the specified folder in the Data Lake.
To resolve this issue, you need to grant the necessary permissions to the managed identity of the Data Factory.
You have already mentioned that you have granted read permissions to the managed identity on the folder in the Data Lake. However, you also need to make sure that the managed identity has the necessary permissions on the container level as well.
You can try granting the Storage Blob Data Reader role to the managed identity at the container level in the Access Control (IAM) settings of the Data Lake storage account. This should allow the managed identity to read data from the specified folder in the Data Lake.
Once you have granted the necessary permissions to the managed identity, you can try testing the connection again from the linked service in Azure Data Factory