Unlike SSMS, Microsoft does support connecting to SQL Data Warehouse from Visual Studio, via the database engine features in SSDT. When you get into the Visual Studio/SSDT environment, open SQL Server Object Explorer, which is similar to Object Explorer in SSMS. From there, click the Add SQL Server button.
When the Connect dialog box appears, provide the server name, select SQL Server Authentication, and then specify the login name and password, as shown in the following figure.
It is a bit surprising that you can’t easily connect via SSMS 2014. Maybe that’s changed with SSMS 2016?