There isn't a built-in way to preserve the "last modified" timestamp when copying files from SFTP to Azure Data Lake Storage Gen2 (ADLS Gen2) with Azure Data Factory
As a workaround
When you are copying the file from SFTP, you can also retrieve the last modified timestamp and store it in the metadata of the blob in ADLS Gen2. This method requires using an additional service like Azure Functions or Logic Apps to retrieve the last modified date from the SFTP source and set it as metadata on the blob in ADLS Gen2.
If you are using Azure Databricks, you could potentially write a script that copies the file and retrieves the last modified date from the SFTP source, then stores that date in the metadata of the blob in ADLS Gen2.