Share your thoughts on DirectQuery for Power BI datasets and Azure Analysis Services (preview)

I'm having trouble developing the composite models.
I connect to a powerbi service dataset and create a model in direct query.

I then enabled DirectQuery for PowerBi datasets and the AS option.

Despite this, it doesn't give me the option to connect to any other file.

Also, I went to External Tools and tried to open the Tabular Editor and it gives me an error: The remote server returned an error: (401) Unauthorized

Am I doing something wrong?
Do I need to enable anything else for composite models to work?