Thanks for the suggestion. I wasn’t able to replicate the example from the article, but it pointed me in the right direction. With that, I managed to configure what I needed and it's worked 🙂
I’ll detail a exampel here:

1. I create the connection using the ODBC driver with Databricks.
2. I create a dataset (fact) with all the columns I want to display in the result table and validate the query (just a common select).
3. Then, I create another dataset (pEntity) with the distinct values of a categorical column, which will be used as one of my parameters (@entity_name).
4. In the Parameters menu, I create the @entity_name parameter and refer to my dataset pEntity,  and two date parameters: @DateStart and @DateEnd.
5. Now comes the part that enables the use of parameters. I go back to my main dataset (fact) and add the expression below instead the common select, so I join with the parameters I created with the query. It’s not necessary to create the parameters in the Parameters sub-tab of the main dataset.

="SELECT code, entity_name, dt_register, in_active " & 
"FROM prd.dbo.entity_resume " & 
"WHERE in_active_reg = 1 " & 
"AND entity_name IN ('" & Join(Parameters!entity_name.Value, "','") & "') " & 
"AND dt_register BETWEEN DATE('" & Format(Parameters!DateStart.Value, "yyyy-MM-dd") & "') " & 
"AND DATE('" & Format(Parameters!DateEnd.Value, "yyyy-MM-dd") & "')"

configs:

result: