Clustered columnstore indexes and foreign keys
You've got lots of questions in here:

Q: (The lack of foreign keys) confuses me a lot! It is a good practice (not mandatory) to have Fk's in the DWH for a variety of reasons (data integrity, relations visible for semantic layer, ....)

A: Correct, it's normally a good practice to have foreign keys in a data warehouse. However, clustered columnstore indexes don't support that yet.

Q: So MS advocates Clustered Column store indexes for DWH scenarios, However it can not handle FK relationships?!

A: Microsoft gives you tools. It's up to you how you use those tools.

If your biggest challenge is a lack of data integrity in your data warehouse, then the tool you want is conventional tables with foreign keys.

If your biggest challenge is query performance, and you're willing to check your own data integrity as part of the loading process, then the tool you want is clustered columnstore indexes.

Q: However SQL 2014 than adds no real new value for DWH??

A: Thankfully, clustered columnstore wasn't the only new feature in SQL Server 2014. For example, check out the new cardinality estimator.

Q: Why am I so angry and bitter about the way my favorite feature was implemented?

A: You caught me - you didn't really ask that question - but I'll answer it anyway. Welcome to the world of third party software where not everything is built according to your exact specifications. If you feel passionately about a change you'd like to see in a Microsoft product, check out Connect.Microsoft.com. It's their feedback process where you can submit a change, other people can vote it up, and then the product team reads it and tells you why they won't implement it. Sometimes. Most of the time they just mark it as "won't fix, works on my machine" but hey, sometimes you do get some answers.