I was able to successfully configure link integration between Dataverse and Azure Synapse. The data flow between Dataverse and the Lake works and I can see files with data from Dataverse inside my Azure Storage.
My problem is that when I'm opening the Synapse Analytics Studio and connecting to my Synapse Workspace I should be able to see (according all the documentation and all the videos I was able to found, for example: https://www.youtube.com/watch?v=s0amKYC7uiA) new lake database with the name of my Dataverse environment in the Data-> Workspace section. Mine one is empty. However I'm able to see the files with Dataverse data inside "Linked" section.
Am I missing some configuration step? Any idea what could be the reason of this situation?
Problem solved. It occurs that the managed resource group used by Azure Synapse Workspace was not in the same location as a Workspace itself and the Database environment. After fixing this I've got access to the lake db.