Direct Query is missing data

We are attempting to create some reports using only a direct query to an Azure SQL data base. However we are currently having an issue with getting data we added to the data base. We added a user named SR to our table in the data base but are un able to successfully update our table in BI. The user and all associated data simply does not show up. However after adding an index column to the table we see that our table has the same number of rows in BI (aprox 110,000) as our table in the Azure SQL data base. After doing so I am then able to find the user SR and all associated data. The problem here is that BI sends an error message "this step results in a query that is not supported in DirectQuery mode." When I remove the index column the error goes away but I am then once again un able to filter by the user SR or even find the user in the data. What could be going wrong with our use of Direct Query and is there a solution for this issue?