I'm currently working in Azure synapse DWH and I have some theoretical questions:
How I can create relationships between tables (Dim's and Fact's) and what implications I would have If I want to create those relationships.
I read that To create a primary key, I would need to set a nonclustered table, but what that means?
Azure Synapse Analytics (ASA) has three engines:
None of these currently support database relationships, as at today. I suspect you mean dedicated SQL pools and just to confirm it does not support the FOREIGN KEY syntax. Relationships is more of an OLTP concept and not common in big data platforms, which ASA is.
Therefore your options are to enforce these relationships downstream or on import to your warehouse. A common method is to identify unknown values and substitute them with a -1 / Unknown value on import. This will ensure there are no NULLs in your key columns.
Additionally, enforce your relationships downstream eg in an Azure Analysis Services tabular model or Power BI model.
If you really need relationships then depending on your data volumes you might consider Azure SQL Database which supports data volumes up to 4TB alongside columnstore indexes which give great compression.