VNet Gateway for Azure Databricks

Hi everyone

We have setup a VNet Gateway to connect Power BI to Azure - this works successfully for Azure SQL, but fails for Azure Databricks.

Azure SQL uses a private endpoint.

We use front-end private endpoints for authentication on Databricks.  We have checked the Azure firewall logs and cannot see any request denials when attempting to connect.

Has anyone else experienced this issue?  Any suggestions of what might be causing it?