You have several options available to you:

1. Remove them manually. Definitely not fast or fun, but gets the job done! :D
2. Copy/paste the script into a text editor (eg. Visual Studio Code, Azure Data Studio), remove the comments using the text editor's regex features, then copy/paste the cleaned script into Azure SQL DW/Azure Synapse.
3. Similar to option 2, connect to Azure SQL DW/Azure Synapse in Azure Data Studio and directly modify your scripts in there. You'll benefit from improved text editing and management tools, and extensions available in Azure Data Studio.

My preference is option 3 because it lets you modify, test, and deploy the script all in one well-outfitted tool.
You're stuck with option 1 and 2 if you don't have admin access to install the text editors listed above on your local machine.