Explanation

Box 1: Set the Copy method to PolyBase
While SQL pool supports many loading methods including non-Polybase options such as BCP and SQL BulkCopy API, the fastest and most scalable way to load data is through PolyBase. PolyBase is a technology that accesses external data stored in Azure Blob storage or Azure Data Lake Store via the T-SQL language.
Box 2: Set the Copy method to Bulk insert
Polybase not possible for text files. Have to use Bulk insert.
Reference:
https://docs.microsoft.com/en-us/azure/synapse-analytics/sql/load-data-overview