The end of September saw the GA release of a managed virtual network in ADF. This means you can now provision the Azure Integration Runtime within a managed virtual network. Additionally, you can leverage Private Endpoints to connect securely to data stores.
It functions by having data traffic go through Azure Private Links which gives the secure connection to the data source while also stopping data exfiltration to the wider internet.
This release is available in both UK South and UK West
Full documentation went up a couple of days before the release and is available here https://docs.microsoft.com/en-us/azure/data-factory/managed-virtual-network-private-endpoint. It is comprehensive, providing current information, architectural drawings, how-to guides for set up, example code and warnings.