Slow Applying Changes / Slow Data Refresh / Direct Query Issue

When you're using SQL sources, apply your foldable steps first. The first step that breaks query folding will stop all folding for all steps after it, and folding really helps optimize refresh times:

https://learn.microsoft.com/en-us/power-query/power-query-folding

It's also preferable to create a view in SQL that has all the transformations and connect to that instead of doing them all in PQ (upstream transformation). 

Most "simple" actions are compatible with direct query, like filters, grouping, and basic calculations. I wasn't able to find a list of precisely which are, but if I recall it's mostly a speed thing where most are supported but you'll slow things down a lot as you add complexity. There's a few DAX functions that are completely unsupported.