I just got approved for the Azure SQL Data Warehouse Preview, and just finished \"provisioning\" my new server and database. I followed a link to a \'Getting Started\' page
I've experienced this. Your connection isn't actually recognised as a SQL DW connection. I bet your query window is a .sql file, not a .dsql as it needs to be.
Go back into the Azure portal and use the link to connect using SSDT from there. You should get a connection in the SQL Server Explorer pane which looks different, and when you start a New Query based on it, you should get a .dsql window, not a .sql one.