What’s interesting is the error message itself is correct, but could be confusing. Note that it’s looking for a path with this name, but it isn’t seeing a path; it’s seeing a file with that name. Therefore, it throws an error.
This proves that you cannot control insertion into a single file by specifying the file at create time. If you do want to keep the files nicely packed (which is a good thing for Hadoop!), you could run a job on the Hadoop cluster to concatenate all of the results of the various files into one big file and delete the other files. You might do this as part of a staging process, where Polybase inserts into a staging table and then something kicks off an append process to put the data into the real tables.
Sometime in the future, I plan to see how it scales: with multiple files writing to a multi-node Hadoop cluster, do I get better write performance with a Polybase scaleout cluster? And if so, how close to linear scale can I get?