I'm not exactly sure what you mean by "where we need to add the user through Add user Wizard in data lake". Currently, Data Factory V2 supports connecting to Azure Data Lake Storage Gen2 via:
- account key
- service principal
- managed identity
To create a linked service in ADF, create a new dataset and choose Azure Data Lake Storage Gen2.
When creating the linked service, choose your authentication method. If you go with account key, your url will look like https://<accountname>.dfs.core.windows.net
. It's easiest to use the From Azure subscription to find your account rather than typing it in.
If you choose Service Principal, you will need to have registered your app in AD and granted the service princpal Storage Blob Data Reader and/or Storage Blob Data Contributor role.
If you use Managed Service Identity, grab the service identity application ID from the window right underneath where you chose your storage account while creating your linked service.
Then give it appropriate permissions. Go to the Azure Portal and open your storage account. Choose Access Control (IAM). Click on Role assignments and then click the Add button. Select Storage Blob Data Reader (or Storage Blob Data Writer if necessary). Leave Assign access to set on Azure AD user, group, or service principal. Paste in the service identity (for MSI, for Service Principal, paste in the application ID) in the Select box. It will search and return an identity with the name of your data factory. Select it and click save.
Here's a good link that explains all the details.