Every row of your data is an insight waiting to be found. That is why it is critical you can get every row loaded into your data warehouse. When the data is clean, loading data into Azure SQL Data Warehouse is easy using PolyBase. It is elastic, globally available, and leverages Massively Parallel Processing (MPP). In reality clean data is a luxury that is not always available. In those cases you need to know which rows failed to load and why.
In Azure SQL Data Warehouse the Create External Table definition has been extended to include a Rejected_Row_Location parameter. This value represents the location in the External Data Source where the Error File(s) and Rejected Row(s) will be written.
This is a big improvement, one that I hope to see on the on-prem product.