I don't have access to PDW, but isn't PDW an older version of Synapse dedicated pool?
In any case, CONNECTIONPROPERTY is a built-in function in normal SQL Server, and it may also be supported in Synapse dedicated pool. But apparently not in PDW.
Since Azure Data Studio apparently supports connections to PDW, I would say that this is a bug. I would recommend that any of you who have run into this file a bug on https://github.com/microsoft/azuredatastudio/issues and share the link so that other people can track it as well.