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
Have you checked the version of SSDT that you are using? It sounds like you may be on a version prior to 12.0.50623, which doesn't take into account that SET NO COUNT is not supported by SQL Data Warehouse at the moment. Newer versions of SSDT have adjusted for this. We recommend updating SSDT here and then connecting using the SQL Server Object Explorer with the directions in our documentation.