Power BI Semantic Model in My Workspace Does Not Support Direct Query

I was not able to find any resources on this.
Took me a while to find out why, so I thought I would put this out there for others.

I wanted to try creating a composite model reusing another Power BI semantic model that I published.
I was only able to create live connection to it and was not able to convert it to Direct Query.
Turns out it was because the Power BI semantic model that I was trying to reuse was in My Workspace, which is not allowed to be connected by Direct Query.

When I tired to connect to a Power BI Semantic Model in another workspace (for example the Admin Monitoring Workspace), Direct Query connection is possible.

Hope it helps.