Help Creating a Date Dropdown Menu in Direct Query.

[aeinc01]

Originally, I built a static dashboard and was able to create a column with the function below to aggregate dates for a dropdown menu:

MonthYear = DATE(YEAR('UTILIZATION_BY_HOURS'[Date]), MONTH('UTILIZATION_BY_HOURS'[Date]), 1)

However, once I attempted to use the same function for Direct Query, it no longer works. I attempted to make some tweaks in Power Query, but I'm still running into an issue. 

For context, the dropdown menu originally looked like this and I would like to maintain this format:

Any suggestions will be appreicated. Thanks again. 

[lbendlin]

Do you have the option of having your Direct Query data source provide these values?

[aeinc01]

As in converting the dates to this formart? Even so, I get duplicates for each individual date.