Thanks @Suteja Kanuri​ for your response! I tried all of the steps you mentioned (and many more) but never managed to make it work.

My suspicion was that our azure networking setup was preventing this from happening. I have not found this documented anywhere, but my second guess would be that the ODBC driver on a compute is only capable of receiving ODBC commands from non-databricks machines (not sure if this is something you can confirm with your dev team).

I've settled on a solution that posts a data bricks job to achieve a cluster to cluster communication. Nevertheless, if there is a way to do it I'd like to hear about it!