In May 2017 Power BI Desktop started supporting creation of DAX measures when working in live connect mode to an external SSAS model: https://powerbi.microsoft.com/en-us/blog/power-bi-desktop-may-fea...
Definitely a needed requirement to enhance the model - usually 80-20 rule applies when the business users will try to enhance the model with their own data, and they will need the keys to do so!
