I personally think that query store has been a fantastic feature. I find myself using it for query performance troubleshooting (plan regressions is a big one). This has always been available since SQL Server 2016 and even Azure SQL Database but now Microsoft have made it available for Azure SQL Data Warehouse (DW).
If you connect to the Azure SQL DW via SQL Server Management Studio (SSMS) there is no Query Store Node (for the version, I was checking 17.9.1). I was even wondering if it was on by default?