Difference between LIVE Connection and Direct Query to AS (PBI Dataset)?

nicbottie-mon , As per doc

 

Currently you can't create parameters in live connection data sources, without a local model. However, using DirectQuery for Power BI datasets and AS (preview), you can add a local model to create field parameters. Read more about DirectQuery for Power BI datasets and AS (preview).

 

https://learn.microsoft.com/en-us/power-bi/create-reports/power-bi-field-parameters#limitations