CosmosDB is a JSON-based document store and it uses partitions to scale out your data. No document-store supports joins. The SQL support is only an interface to your data, it doesn't add relational functionality.

The partitionkey is required so that CosmosDB knows which partition to query. You can actually enable broadcast queries which will ask every partition if you don't want to include the partition key, but this will be slower and require more RUs.