Source files are included using Kconfig. See this file for the relevant ones for azure_iot_hub. And from here we can see that azure_iot_hub_dps.c is only included if CONFIG_AZURE_IOT_HUB_DPS is set. Have you set this?

If you have set this, check your logs for any Kconfig Override Warnings just in case.
And lastly, I recommend having a look at build/<project_name>/zephyr/.config and look for the configuration, as that is where you see what configurations are set at the end of a build, so if it is set there, you know it is really set.