@Jackie Chan​ , To use spark parallelism you could register both destination as tables an use COPY INTO or register just source as table and use CREATE TABLE CLONE.

If you want to use normal copy it is better to use dbutils.fs library

If you want to copy regularly data between ADSL/blobs nothing can catch up with Azure Data Factory. There you can make copy pipeline, it will be cheapest and fastest. If you need depedency to tun databricks notebook before/after copy you can orchestrate it there (on successful run databricks notebook etc.) as databricks is integrated with ADF.