PowerBI should allow using DirectQuery with OneLake Data Warehouse connection

If I add a data source via OneLake data hub / Warehouses, then PowerBI says this data source doesn't support DirectQuery. If I copy the warehouse's SQL Connection String and add it as an SQL Server data source, it allows me to use DirectQuery.

I find this unintuitive. If it uses a different implementation under the hood, at least the error message should explain that I should add it az an SQL Server source if I want to use DirectQuery.