Direct Query 1 Million Limit

as per the microsoft documentation, i would run some diagnostics on the query,  are you using premium? have you tried to publish it to the service and see if it works there?

A limit of 1 million rows can return on any query. There's a fixed limit of 1 million rows that can return in any single query to the underlying source. This limit generally has no practical implications, and visuals won't display that many points. However, the limit can occur in cases where Power BI doesn't fully optimize the queries sent, and requests some intermediate result that exceeds the limit.

The limit can also occur while building a visual, on the path to a more reasonable final state. For example, including Customer and TotalSalesQuantity could hit this limit if there are more than 1 million customers, until you apply some filter. The error that returns is: The resultset of a query to external data source has exceeded the maximum allowed size of '1000000' rows.

https://learn.microsoft.com/en-us/power-bi/connect-data/desktop-directquery-about#other-implications