Access control on Azure SQL Data warehouse
I haven't tested this on Azure, but on my local SQL Server 2016, I cannot reproduce what you're seeing.  Perhaps the target user has more rights than you think?  Do they have membership in a role that is giving them access?

Anyway, the testbed I used to test this is:

CREATE TABLE dbo.SomeTable
(
    SomeTable_id int NOT NULL
        CONSTRAINT SomeTable_pk
        PRIMARY KEY CLUSTERED
        IDENTITY(1,1)
) ON [PRIMARY];

CREATE USER UserA WITHOUT LOGIN;
DENY SELECT ON dbo.SomeTable TO UserA;
GRANT CREATE VIEW TO UserA;
GRANT CREATE SCHEMA TO UserA;


EXECUTE AS USER = N'UserA'; --anything past this point is executed using UserA's permissions

--fails with SELECT permission denied
SELECT *
FROM dbo.SomeTable;
GO

--this works due to the GRANT CREATE SCHEMA statement above
CREATE SCHEMA UserA;
GO

--this works due to the GRANT CREATE VIEW statement above
CREATE VIEW UserA.SomeTableView
AS
SELECT *
FROM dbo.SomeTable;
GO

--this fails since the user who created the view doesn't have rights to the underlying table.
SELECT *
FROM UserA.SomeTableView;
DROP VIEW UserA.SomeTableView;

--revert back to "me" instead of UserA
REVERT


UserA is able to create the view, but they cannot actually select from it.  The error returned is:


  Msg 229, Level 14, State 5, Line 27
  The SELECT permission was denied on the object 'SomeTable', database 'MaxTest', schema 'dbo'.