Explanation
A customer-managed key can only be configured on an empty data Factory. The data factory can't contain any resources such as linked services, pipelines and data flows. It is recommended to enable customer-managed key right after factory creation.
Note: Azure Data Factory encrypts data at rest, including entity definitions and any data cached while runs are in progress. By default, data is encrypted with a randomly generated Microsoft-managed key that is uniquely assigned to your data factory.
Reference:
https://docs.microsoft.com/en-us/azure/data-factory/enable-customer-managed-key