From investigating the documentation from microsoft it uses the SQL Server native client driver to connect which should explain why it works in SSMS. However i believe there are some internal adjustments within the driver that allow you to use it for Azure SQL DW as well. That might mean TDP doesnt seem to support those "differences" between standard SQL server and SQL DW connections.
But from what i read on the internet its possible to connect to it using an ODBC connection which you could establish in TDP by creating a new "ODBC Generic" connection type in TDP's connection manager window. You can create a new named ODBC driver instance in windows using built in 32/64 bit ODBC administrator and just point to it from TDP when creating the connection.
Unfortunately i dont have any live connection to try this.