First let me say that PolyBase is cool. I can query data in text files and join to tables in my database. Next let me say PolyBase is a fairly young technology and has some limitations that I imagine will be improved in later versions.
One of those limitations (as of July 30, 2016) is that while you can declare your field delimiter and a string delimiter in external file formats, the row delimiter is not user configurable and there is no way to escape or ignore the row delimiter characters (\r, \n, or \r\n) inside of a string. So if you have a string that contains the row delimiter, PolyBase will interpret it as the end of the row even if it is placed inside of the string delimiters.
This is definitely something to keep in mind. I haven’t dealt with data with newlines within attributes, so I haven’t run into this yet, but don’t let it bite you.