When you say "Azure default firewall", do you mean Azure Firewall (which comes in Basic, Standard and Premium)?
The Azure SQL Firewall is used as a server level firewall which blocks connections to your Azure SQL database or Azure Synapse Analytics, you control the list of allowed IP addresses. This is just specific to Azure SQL and not the wider estate.
Compared to Azure Firewall, which is the cloud-native Firewall and security service which can be used to control all traffic inbound and outbound, generally used for Layer 3-7 filtering, utilising Microsoft's Threat Intelligence among many other features, depending on what tier you go for.
In summary, the SQL Firewall is specific just to SQL, and is just used for those resources, it comes for free with Azure SQL. Azure Firewall is a paid service and used to protect the entire Azure estate. I assume you have more than just Azure SQL running in your tenant, so I would highly recommend Azure Firewall or one of the third party NVA's from the marketplace (e.g Cisco, Fortinet)
Hope this helps