Hello oscar van zelst, Bratcher, Danny (Tarpon Springs),
Here, the only action required from your end would be to check the available Databricks NSGs and verify if any of these ports have been blocked. If these ports are not blocked on your end, then no further action is necessary.
How to verify: Click on the NSG attached to the subnet:
Look for outbound rules that deny traffic from VirtualNetwork sources to the AzureDatabricks service tag destination on ports 8443-8451 and 3306.
I hope this helps.