Have you created the Direct Connect set up for the on prem network:

• To establish a front-end PrivateLink connection for accessing the workspace from your on-premises network, connect your on-premises network to an AWS VPC using Direct Connect or VPN.

• Also have you checked the DNS set up for Private Link: https://docs.databricks.com/en/security/network/classic/privatelink.html#step-5-configure-internal-d...