Execute egg directly from Azure Data Factory
It seems you selected Jar activity in Azure Data Factory, instead of Python activity.
In the Jar activity, the "Main class name" expects full name of the class containing the main method to be executed. This class must be contained in a JAR provided as a library.
If you select Python activity, you can specify Python file name and upload your egg library.
You can find more details about it here:https://docs.microsoft.com/en-us/azure/data-factory/transform-data-databricks-python