When creating Azure Data Warehouse, I have found the limitation that the Visual Studio SSDT SQL projects does not support Azure Data Warehouse. It causes much pain to the data warehouse development without support on source control and nice code organisation as those offered by SSDT SQL Projects.
Fortunately, I have found a trick to workaround this limitation. It may not feel like a elegant approach, but I found it did do well in my work.
The trick is to create a middle Azure SQL Database that is supported by Visual Studio SSDT SQL projects. We create the Azure Data Warehouse schema in Visual Studio SSDT but target at and deployed to the middle Azure SQL Database.
Then, we use the Data Warehouse Migration Utility to migrate the schema to the Azure Data Warehouse.
One limitation of this tool is that this tool does not support the migration of stored procedures. We have to manually copy the stored procedure script from visual studio SSDT and run against the Azure Data Warehouse.