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.
One good feature of columnstore indexes is that only the columns which are necessary are read (unlike rowstores where the entire row is read).
So if you include all columns in the non-clustered index this will take longer to create the index but not adversely impact any query (and will benefit any query that uses those columns).
Best Answer
The article you link to gives this guidance:
The "minimum size" for columnstore isn't really any size on disk, but number of rows. Each table (or partition if the table is partitioned) should be at least 1 million rows before considering it for columnstore.
A very narrow multi-million row table might be only a few megabytes and still be an excellent candidate for columnstore. A wider table with fewer rows may take up more space on disk, and not be a good columnstore candidate.
I'd recommend revisiting the sections in that article titled "Consider using a clustered columnstore index when..." & "Don't use a clustered columnstore index when..."