Raise error from Stored PROC in SQL Server PDW
I don't know if this will work with PDW specifically, but I've got an awful, dirty hack I use with user-defined functions, which also don't allow RAISERROR. Just attempt to cast a varchar literal containing your error message to int.

SELECT CAST('Carburetor failure detected.' AS int)


It's not the prettiest error output, but it's better than nothing.