Everytime when i run the dataset to update few records it takes hours together to finish. How can i do upsert function using this connector. There is another connector 'Azure Synapse' and it appears that one is also missing this functionality.
UPSERT isn't available for many connectors currently. Only Workbench and those connectors listed https://knowledge.domo.com/Connect/Managing_DataSets/DataSet_Update_Methods#Upsert_and_partition have the ability to do UPSERTs. Right now it doesn't appear possible to do UPSERTs with the Azure SQL DW Connector.
as @GrantSmith said, try Workbench.
If Azure DW supports an ODBC driver you should be able to round trip the data from Azure, through your Client machine into Domo via WB. It's not ideal, but it gets the job done and it supports UPSERT.
That said, contact your AE / CSM, Azure DW seems pretty common and it may already be on the product road map.