So essentially, every column has a whole bunch of indexes on it.
But there’s no order whatsoever as to which rows end up in which index.
This isn’t a problem for relatively small tables, but as you get to billion-row data warehouse fact tables where columnstore should really shine, performance gradually degrades. In data warehouses, fact tables often have a commonly filtered column, like SaleDate. However, until SQL Server 2022, even if you wanted a small SaleDate range, your query would likely check hundreds or thousands of row groups, each of which had a huge range of data.
But do read the whole thing, as it seems it’s not working correctly in CTP 2.0 of SQL Server 2022. It is quite useful in Azure Synapse Analytics dedicated SQL pools, at least—that I can confirm.