Hello Krzysztof Przysowa,
Welcome to the Microsoft Q&A forum.
Currently, you can't use ADF Script activity to execute SQL statements on the Azure Databricks SQL warehouses.
I would suggest submitting this idea to the ADFfeedback channel. Which would be open for the user community to upvote & comment on. This allows product teams to effectively prioritize your idea against our existing feature backlog and gives insight into the potential impact of implementing the suggested feature.
https://feedback.azure.com/d365community/forum/1219ec2d-6c26-ec11-b6e6-000d3a4f032c
Also please do share the link once the feedback is posted so that we can pass the feedback to respective product owners for further review.
Hope this info helps.