Arun Sirpal explains how backups work with Azure SQL Data Warehouse:
The question is how are backups done with Azure SQL DW?
It is very different from Azure SQL DB (which you would expect). Azure SQL DW has a totally different architecture to its classic database counter-part. Restore points are the key here. Automatic ones are taken throughout the day and are kept for seven days only. Worst case scenario is the time between the restore points will be eight hours hence giving an eight hour RPO (Recovery Point Objective).
You can also create manual restore points, as Arun shows.