Datasets in Azure Datafactory

Azure Storage and Azure SQL Database linked services contain connection strings that Data Factory uses at runtime to connect to your Azure Storage and Azure SQL Database

Dataset: 

A dataset is a named view of data that simply points or references the data you want to use in your activities as inputs and outputs.

Datasets identify data within different data stores, such as tables, files, folders and documents.

For example:

An Azure Blob dataset specifies the blob container and folder in Blob storage from which activity should read the data.

 https://docs.microsoft.com/en-us/azure/data-factory/concepts-datasets-linked-services