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My understanding is, In order to access an on-premises SQL Server from Azure Data Factory, you will need to use either a self-hosted integration runtime or an Azure virtual machine(set up for the load balancer) that is connected to your on-premises network.
This Azure VM needs to be connected to your on-premises network via a VPN or ExpressRoute as pointed out in the document.
I hope this answers your question. Please let me know if you have any further questions.