Unable to connect Cosmos DB to Synapse

We are currently trying to connect data from a Cosmos DB to Synapse. 

We enabled the Azure Synapse Link as described here:

https://docs.microsoft.com/en-us/azure/cosmos-db/configure-synapse-link

we then followed this manual to connect:
https://docs.microsoft.com/en-us/azure/synapse-analytics/quickstart-connect-synapse-link-cosmos-db

After trying several times, we still face the issue that the connection failed with the following error message. 

Error code: 9108
Details: DocumentDb operation failed: An error occurred while sending the request..
An error occurred while sending the request.
Unable to connect to the remote server
A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond 13.69.112.38:443

Does anybody have an idea what is wrong?