Previous Month in Direct Query Mode

Anonymous As aj1973 stated, TI functions have limitations with DQ, which is one of the reasons I find them generally useless. You may find this helpful - https://community.powerbi.com/t5/Community-Blog/To-bleep-With-Time-Intelligence/ba-p/1260000

In your case, you could get previous month this way:

Internet Sales last Month measure = 
  VAR __Date = MAX('DimDate'[FullDateAlternateKey])
  VAR __LastMonthEnd = EOMONTH(__Date,-1)
  VAR __LastMonthBegin = DATE(YEAR(__LastMonthEnd),MONTH(__LastMonthEnd),1)
RETURN
CALCULATE(
    [Internet Sales],
    DimDate[FullDateAlternateKey] >= __LastMonthEnd,
    DimDate[FullDateAlternateKey] <= __LastMonthBegin
)