https://learn.microsoft.com/en-us/azure/databricks/security/encryption/encrypt-otw
User queries and transformations are typically sent to your clusters over an encrypted channel. By default, however, the data exchanged between worker nodes in a cluster is not encrypted. If your environment requires that data be encrypted at all times, whether at rest or in transit, you can create an init script that configures your clusters to encrypt traffic between worker nodes, using AES 128-bit encryption over a TLS 1.2 connection.
So it should be encrypted.