An Azure analytics service that brings together data integration, enterprise data warehousing, and big data analytics. Previously known as Azure SQL Data Warehouse.
Here is what you should do in this situation. Since you use a stored procedure, you can specify wlm_context inside it
EXEC sys.sp_set_session_context @Key = 'wlm_context', @value = 'etl'
After that you need to create a classifier on workload management page of the dedicated sql pool. Make sure to use dbo member.

Note that we do not use user/password credentials and you can also use activities from Synapse group.