After several weeks of discussion with Microsoft, it appear that this is because Warehouse doesn't support Multiple Active Result Sets (MARS). Setting MultipleActiveResultSets=0 in option resolve the problem.

so, the final method for me was :

        $connectionParams = [
            'dbname' => 'my_DBname',
            'user' => [email protected]',
            'password' => 'mypassword',
            'host' => 'xxxxxxxxxxxxxx.datawarehouse.fabric.microsoft.com',
            'driver' => 'pdo_sqlsrv',
            'port' => 1433,
            'driverOptions' => [
                'Authentication' => 'ActiveDirectoryPassword',
                'MultipleActiveResultSets' => 0,
                'Encrypt' => 1,
                'TrustServerCertificate' => true
            ]
        ];
        $this->conn = \Doctrine\DBAL\DriverManager::getConnection($connectionParams);