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Is there a way to isolate Query Store data to a separate volume? I have a thousand or so databases that we’ve gotten pretty good at predicting growth for. I’m unsure of how much storage Query Store will need, but to be valuable across various scheduled workflows, I need 30 days. I know I can specify storage limits for QS, but wondering if I can just add a large volume of cheaper storage and dump Query Store there?

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No, as of 2018/04/25, you can't choose the filegroup where Query Store data is placed. In the databases where you enable Query Store, the data goes into the default filegroup.

It was a highly upvoted Connect item, so other folks share your pain - so I would expect that to be an enhancement added in the future.

Thanks to @klitzkrieg, here are the current feedback items:

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