The PDW documentation states:
SQL statements must be submitted using the linked server EXECUTE
statement. Using the EXECUTE statement avoids using four-part names
for objects, which is not supported by SQL Server PDW. For example:
Use this: EXEC ('SELECT * FROM AdventureWorksPDW2012.dbo.dimCustomer')
AT PDWLINK;
Don’t use this: SELECT * FROM
PDWLINK.AdventureWorksPDW2012.dbo.dimCustomer
So I wouldn't expect to be able to browse the linked server and get a list of databases. You can run queries though.
For the reference of others, the PDW/APS documentation explains how to create a SQL Server linked server that connects to the PDW:
EXEC master.dbo.sp_MSset_oledb_prop N'SQLNCLI', N'AllowInProcess', 1
GO
EXEC master.dbo.sp_addlinkedserver
@server = N'PDWLINK', @srvproduct=N'PDW',
@provider=N'SQLNCLI', @provstr=N'Server=<ip_control_node_cluster>,17001', @catalog=N'<database>';
GO
EXEC master.dbo.sp_addlinkedsrvlogin
@rmtsrvname=N'PDWLINK',@useself=N'False',
@rmtuser=N'<PDW_login_name>',@rmtpassword='<PDW_login_password>'
GO
EXEC master.dbo.sp_serveroption
@server=N'PDWLINK', @optname=N'rpc',
@optvalue=N'true'
GO
EXEC master.dbo.sp_serveroption
@server=N'PDWLINK', @optname=N'rpc out',
@optvalue=N'true'
GO
-- The options below are not required
EXEC master.dbo.sp_serveroption
@server=N'PDWLINK', @optname=N'collation compatible',
@optvalue=N'false'
GO
EXEC master.dbo.sp_serveroption
@server=N'PDWLINK', @optname=N'data access',
@optvalue=N'true'
GO
EXEC master.dbo.sp_serveroption
@server=N'PDWLINK', @optname=N'dist',
@optvalue=N'false'
GO
EXEC master.dbo.sp_serveroption
@server=N'PDWLINK', @optname=N'pub',
@optvalue=N'false'
GO
EXEC master.dbo.sp_serveroption
@server=N'PDWLINK', @optname=N'sub',
@optvalue=N'false'
GO
EXEC master.dbo.sp_serveroption
@server=N'PDWLINK', @optname=N'connect timeout',
@optvalue=N'0'
GO
EXEC master.dbo.sp_serveroption
@server=N'PDWLINK', @optname=N'collation name',
@optvalue=null
GO
EXEC master.dbo.sp_serveroption
@server=N'PDWLINK', @optname=N'lazy schema validation',
@optvalue=N'true'
GO
EXEC master.dbo.sp_serveroption
@server=N'PDWLINK', @optname=N'query timeout',
@optvalue=N'0'
GO
EXEC master.dbo.sp_serveroption
@server=N'PDWLINK', @optname=N'use remote collation',
@optvalue=N'true'
GO
EXEC master.dbo.sp_serveroption
@server=N'PDWLINK', @optname=N'remote proc transaction promotion',
@optvalue=N'false'
GO