Is there an option to do Column level encryption in Azure SQL DW similar to the one in SQL DB(Symmetric, asymmetric or always encrypted). I can see there's transparent data encryption(TDE) but I need column level for PII
Column Level Encryption in Azure SQL Datawarehouse
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We have recently introduce column level security which allows you to hide columns from users. Often customers will create policies that grant access based on role eliminating the security risk.
Azure SQL Data Warehouse does not support column-level encryption at this time. Azure SQL Database and SQL Server 2017 (eg on IaaS) do so if encryption is a requirement for you then consider these alternative options. If your data is not too big, consider Azure SQL DB which also has columnstore.
Alternately, consider encrypting your data before inserting it into your data warehouse, eg write a custom encryption component and host it in Data Factory, or write a custom U-SQL outputter, which outputs encrypted columns in a flat file which could then be picked up by Polybase.