In May 2017 Power BI Desktop started supporting creation of DAX measures when working in live connect mode to an external SSAS model: https://powerbi.microsoft.com/en-us/blog/power-bi-desktop-may-fea...
while not exactly implemented as described, with the release of DQ/AS, the user story is covered and the feature is probably not going to be built separately.
Update 4/11/2023: composite models on Power BI Datasets and Analysis Services was released. https://powerbi.microsoft.com/en-us/blog/announcing-general-availability-for-composite-models-on-power-bi-datasets-and-analysis-services-models/
