Getting error USE statement is not supported to switch between databases with Azure Synapse formerly SQLDW
If you check out the documentation for the USE statement, you'll see that it is not supported for Azure Synapse Analytics (formerly Azure SQL DW).
To change database contexts, you'll have to open an explicit connection to the desired database.
If you're having issues with your IDE, try specifying the desired database in your connection string when you connect so there is no switching required.