direct query for loading a parameter

I am connected to DataExplorer hence my queries are all "direct query".

I have a query that is used for loading one parameter hence I have applied the transformation "conver to list".

When I click "apply" I am getting the error attached on the screenshot: "This query contains transformation that cannot be applied on direct query".

I have followed this tutorial: (192) Populate a Power BI parameter list using a query - YouTube

How is it possible to create a direct query to be used for loading a parameter?

Thanks in advance