text to time cancels direct query mode

Changing the data type in direct query mode is not supported through the query editor. However, you should be able to do this after your data is loaded. In your Fields list, select the field you want to change, then select the Data Type in the Modeling tab of the ribbon.

This article (go to the section titled "Ability to change the datatype when connected to Direct Query") and this community post have good screenshots of the process.