I did find answer to this question. Hopefully it will help anybody else looking for automation for Azure Data Factory.
The solution was not in documentation for Azure Data Factory, where I was looking, but in the scripting for - Azure Monitor. The link is - Create diagnostic settings to send platform logs and metrics to different destinations - Azure Monitor | Microsoft Docs
To the credit of the Azure team, this link is available on Portal where diagnostics is added to the Azure Data Factory, but the information about the Azure CLI is close to the bottom of the page. (So, egg on my face, for missing it.)
Here is the script that I came up with:
az monitor diagnostic-settings create \
--name LogAnalytics02-Diagnostics \
--resource /subscriptions/(your-subscription)/resourceGroups/(your-resource-group)/providers/Microsoft.DataFactory/factories/(data-factory-name) \
--logs '[{"category": "PipelineRuns","enabled": true}]' \
--metrics '[{"category": "AllMetrics","enabled": true}]' \
--workspace /subscriptions/(your-subscription)/resourcegroups/(your-resource-group)/providers/microsoft.operationalinsights/workspaces/(your-log-analytics-workspace-name)
The pre-requisite to running the script is provisioning to the Azure Data Factory and the Log Analytics Workspace. Substitute the values to match the Azure subscription and resources.