I presume that you refer to FKs in fact tables. During DW loading, indexes and any foreign keys are dropped to speed up the loading -- the ETL process takes care of keys.
Foreign key constraint "activates" during inserts and updates (this is when it needs to check that the key value exists in the parent table) and during deletes of primary keys in parent tables. It does not play part during reads. Deleting records in a DW is (should) be a controlled process which scans for any existing relationships before deleting from dimension tables.
So, most DWs do not have foreign keys implemented as constraints.
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