My team recently ran into a dilemma in which we were processing data from an Azure SQL DB and one of the columns had the UTC date offset. The target was the same table structure in Azure SQL DW. What we noticed is that when we selected from the Azure SQL DB, it basically truncated the UTC offset and loaded the data into the target DW with the incorrect UTC.
We tried Azure SQL DB to Azure SQL DB and did not have the issue. Not sure if this is a bug in the connector, we were using Azure SQL DW V2. Connector.