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Power Bi query, using direct query does not support use such as 'DECLARE', 'WITH', or even 'ORDER BY' , not sure why the developers does not use this tool at full potencial, but for sure have some potencial to improve. If the developers doest not find interesting or change the permission from direct query, maybe allows us to read an sql file .
To Quote Chris Webb: "What can you do to work around this? There is really just one answer: model your data the way Power BI likes it (i.e. as a star schema) before it gets to Power BI. It’s the now-famous Roche’s Maxim. Even if you aren’t running into this limitation using SQL queries as the source of a table is a bad idea because it makes maintenance difficult and you end up doing any expensive transformations at query time and paying the performance penalty over and over again. And yes, I know, some of you don’t have permission to create views or get the data modeled correctly in the source and I know it’s tough, but that’s the way it is."
You are encouraged to search for an existing idea and vote for it or create a new Idea at https://aka.ms/PBI_Comm_Ideas in support of adding support.