In Azure Key Vault we will be adding secrets that we will be calling through Azure Databricks within the notebooks. First and foremost, this is for security purposes. It will ensure usernames and passwords are not hardcoded within the notebook cells and offer some type of control over access in case it needs to be reverted later on (assuming it is controlled by a different administrator). In addition to this, it will offer a better way of maintaining a solution, since if a password ever needs to be changed, it will only be changed in the Azure Key Vault without the need to go through any notebooks or logic.
If you don’t use Key Vault, Databricks does include its own secrets storage, so there’s really no reason to keep them in plaintext.