Databricks Runtime for Machine Learning (Databricks Runtime ML) uses Conda to manage Python library dependencies. If you want to use Conda, you should use Databricks Runtime ML. Attempting to install Anaconda or Conda for use with Databricks Runtime is not supported.
Follow the Create a cluster using Databricks Runtime ML (AWS | Azure) instructions to create a cluster with Conda. Once the cluster has been created, you can use Conda to manage Python packages on the cluster.