This article provides details for the error:
'USE statement is not supported to switch between databases. Use a new connection to connect to a different Database.'
This error is triggered by a badly configured Physical Schema.
When the Database (Catalog/Work Catalog) specified in the physical schema does not correspond to the value of the Database connection property this will trigger the “Use <database_name>” statement which AzureSynapse does not support:
To fix this issue the user must set Database (Catalog) and Database (Work Catalog) to the actual name of the database he wants to connect with (specified in the connection string)
Additional details on how to establish a connection with AzureSynapse can be found here: