There are currently a few limitations to using DirectQuery:
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All tables must come from a single database, unless using composite models
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If the Query Editor query is overly complex, an error will occur. To remedy the error you must either delete the problematic step in Query Editor, or Import the data instead of using DirectQuery. For multi-dimensional sources like SAP Business Warehouse, there is no Query Editor
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Time intelligence capabilities are not available in DirectQuery. For example, special treatment of date columns (year, quarter, month, day, so on) is not supported in DirectQuery mode.
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Limitations are placed on DAX expressions allowed in measures to ensure that queries sent to the underlying data source have acceptable performance.
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There is a one-million-row limit for returning data when using DirectQuery. The limit does not affect aggregations or calculations used to create the dataset returned using DirectQuery, only the rows returned. For example, you can aggregate 10 million rows with your query that runs on the data source, and accurately return the results of that aggregation to Power BI using DirectQuery as long as the data returned to Power BI is less than 1 million rows. If more than 1 million rows would be returned from DirectQuery, Power BI returns an error.
Regards,
Jimmy Tao