As per the documentation, when using the Data Factory CDC (Preview) :
The newly updated rows or updated files can be automatically detected and extracted by ADF mapping data flow from the source stores. When you want to get delta data from the databases, the incremental column is required to identify the changes. When you want to load new files or updated files only from a storage store, ADF mapping data flow just works through files’ last modify time.
Follow this guide to implement directly the Change data capture (CDC) with Azure SQL Database :