Unlike the sys.dm_exec_requests view in SQL Server, the sys.dm_pdw_exec_requests view actually keeps up to 10000 records with the information of a request even after it has executed. This capability is very useful as you can track specific query executions as long as their records are still among the 10000 kept by the view. As time passes the oldest records are phased out in favor of more recent ones.
This is an interesting look at some of the differences between Azure SQL Data Warehouse and a “normal” SQL Server installation. Good reading.