Found myself cornered yesterday: the Performance Data Warehouse database on one of the production servers was taking the entire disk space. Looked closer and found that everything seems to be working ok: the data collection, the data purge scheduled job had not failed. Looked even closer and found that the nightly data purge job is running, but is leaving orphaned records in two tables: notable_query_plans and notable_query_text. I wrote a script which removes the orphaned records.
For further details on how to do this, please contact SQL Service.