Hello @Rumba and welcome to Microsoft Q&A.
Could you please tell us a little more about your situation? What error message are you getting, and is it coming from Data Lake, or D365 or some other service?
I would expect loading directly to a SQL database would be slower and more expensive than to Data Lake or Data Warehouse.
Might I suggest looking into Azure Synapse? Azure Synapse workspace bring the confluences of Data Orchestration (Azure Data Factory) , Azure Data Lake, Data Warehouse (dedicated SQL pools), Database, Analytics (Spark, PySpark,, etc.), on-demand serveless SQL, and many more tools into one place. More is always being added. There is a connector for D365.
By bringing all into one place, you can try out various setups and find what combination works best for you, without having to start from scratch each time.