Kamil Nowinski goes down a rabbit hole:
This happens on the customer’s Synapse workspace where we have a public network disabled, so only private endpoint and managed VNET are available. Additionally, you probably spotted, that it took over 3 minutes to actually get this message. Hence, as a next step, in order to minimize the potential causes I simplified the query to make sure I have access to the Storage, by listing the files:
Click through for a story of pain, followed by glorious resolution.