Even when this was working there was no separate connector but you need to add as a SQL server source. There was a new stored procedure included in SQL server that was not in Azure DW and it was failing to load the datasets, you will get an error like this
2019-01-24 13:54:15,579 [metadata-refresh-sqldw] ERROR c.d.e.s.j.d.a.ArpDialect$ArpSchemaFetcher - Error listing datasets for ‘sqldw’
com.microsoft.sqlserver.jdbc.SQLServerException: Could not find stored procedure ‘sp_msforeachdb’.
at
Thanks
Bali