Synapse Pipelines Web Activity cannot reach sites when using Managed Virtual Network?

We have an Azure Synapse workspace created using a Managed Virtual Network. We created a pipeline to pause / resume the dedicated pools based on a scheduled trigger, however it looks like the Web activity is unable to reach any external websites (including management.azure.com):

{
    "errorCode": "2108",
    "message": "Error calling the endpoint ' https://management.azure.com/subscriptions/$TENANT-ID/resourceGroups/$RESOURCE-GROUP/providers/Microsoft.Synapse/workspaces/$WORKSPACE/sqlPools?api-version=2019-06-01-preview '. Response status code: 'Unknown'. More details:Exception message: 'An error occurred while sending the request.'.\r\n",
    "failureType": "UserError",
    "target": "GET list",
    "details": []
}

Is this a known limitation of using a Managed Virtual Network together with "data exfiltration protection"

Also asked on the MS Docs Github site