Use Case of Dynamic M Parameters

The video is just showing an example, using DirectQuery. That is not a requirement for using M Parameters

After diggin a little more, I think the main objective of Power Query parameters, dynamic M, is to help pass parameters from a deployment pipeline to change the servername and database name for Dev versus QA versus Prod. This example in the 2 videos I watched were shwing a table (with a unique list) passing the selected value to the parameter, thus filtering the table. 

It is just an example, to show how it can work. This is not necessary a common use of the parameter.

yes, you can just use a filter or slicer to accomplish the same thing. They are using a Direct Query example for the use of passing a parameter to the source database to only retrieve a sub-set of the data.