Hey,
basically the advantage of direct query is that you don't have to care about the size of the dataset meaning the size of the database you are direclty connecting to and of course - the data is more current, because the import of data is not a part of analytical pipeline.
The price you pay, you can't add columns using DAX to create "calculated columns", you just can add meausres.
Performance is not as good as with a dedicated Analysis Services model, either from within Power BI Desktop / Power BI Service or from Analysis Services / Azure Analysis Services using "live connection".
You can implement RLS against direct query connections, but actually I do not know if this is supported for Oracle.
As far as i know, MSFT is working on SSO support through the on-premises gateway for oracle (also not sure if this feature is currently in preview or will come, or maybe already is GA). I was talking with someone from MSFT during the MSFT Business. Application Summit). If this will be supported, you can also add your own kind of RLS direct in your oracle databae.
Regards,
Tom
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