Date Hierarchy does not get generated

martinmark  You will have to first create the columns in the table which are required for creating the Date Hierarchy - possible in Direct Query Mode by using DAX. Then, you can use those columns to create a hierarchy as required.

Note - Use MonthNum column to sort MonthName and if you want full Month name you can modify the DAX calculation as required.

Create below DAX Calculated columns in the table in which you have created_at column - 

Year = YEAR('Table'[created_at])

Quarter = "Q" & QUARTER('Table'[created_at])

MonthNum = MONTH('Table'[created_at])

MonthName = 
SWITCH(
    MONTH('Table'[created_at]),
    1, "Jan",
    2, "Feb",
    3, "Mar",
    4, "Apr",
    5, "May",
    6, "Jun",
    7, "Jul",
    8, "Aug",
    9, "Sep",
    10, "Oct",
    11, "Nov",
    12, "Dec"
)

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Best regards,
Rupasree Achari | BI & Fabric Analytics Engineer