Calculation groups and Query folding

I have a huge data in Snowflake (900+ million rows) what is used via Direct Query. There are about dozen measures (turnover, net sales etc) and everything works ok when I use pure measures, but when I use Calculation Group performance drops dramatically. Calculation group is very simple, only about 10 items, and those are like PY, YTD etc. My matrix is also quite simple: Calculation items on columuns and measures in value section. In my investigations, I realize that when calculation group is used the query folding drops down and Power BI sent own query for every cell. Do I do something wrong, or does query folding supports calculation groups at all?