Hello @Akash Verma and thank you for your question.
Are you using Azure SQL server, Azure SQL server Managed Instance, or a SQL server hosted on a VM in Azure?
3: ADF Initiates the connection, not the SaaS
4: Whether the SaaS is supported as a sink depends upon the SaaS and how you connect to it. Some SaaS have built-in connectors (see source-sink matrix here). Some you connect to via REST/Http datasets (not available as sink).
1: If you copy data by using the Azure integration runtime, configure a server-level firewall rule so that Azure services can access the server. Port 1433 is required for Azure SQL Database.
2: There are several security features available. Transparent Data Encryption may already be enabled on your SQL server.