JreNotFound error when using Azure Data Factory Data Source with ODX

Scenario

You have a working ODX Server setup using Azure Data Lake storage.  You add a new Azure Data Factory Data Source with Self Hosted Integration Runtime.  The Sync task works OK, however the Transfer task fails with the following error:

{
"errorCode": "2200",
"message": "Failure happened on 'Sink' side. ErrorCode=JreNotFound,'Type=Microsoft.DataTransfer.Common.Shared.HybridDeliveryException,Message=Java Runtime Environment cannot be found on the Self-hosted Integration Runtime machine. It is required for parsing or writing to Parquet/ORC files. Make sure Java Runtime Environment has been installed on the Self-hosted Integration Runtime machine.
,Source=Microsoft.DataTransfer.Common,''Type=System.DllNotFoundException,Message=Unable to load DLL 'jvm.dll': The specified module could not be found. (Exception from HRESULT: 0x8007007E),Source=Microsoft.DataTransfer.Richfile.HiveOrcBridge,'",
"failureType": "UserError",
"target": "Copy Table",
"details": []
}

Cause

Reference