Azure Key Vault is not part of Azure Data factory service. AKV is a different service that is used to store secrets such as SQL passwords, Storage account keys, tokens or certificate.
In ADF, when you connect to services such as Storage account or SQL server, it is not recommended to provide passwords directly, instead you have to fetch it from AKV.
You have to first create a linked service connection to connect to AKV in ADF. Later you use this linked service when you connect to Storage account, SQL etc..
Here is step by step - https://learn.microsoft.com/en-us/azure/data-factory/store-credentials-in-key-vault
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