How to connect Direct Query for OData in Power BI desktop?

When i am connecting import mode, when we are extracting the nested table it is giving the data is an error and  the Power BI is unable to load the 456611 records of data and it is getting stuck.

It seems that Power BI always imports all rows from an OData entity - which will not work in my use-case due to the large number of rows. In addition, all our queries are Transactional data,(so we can't filter to reduce the # of records). So, I have 2 questions:

Can you please any one help me on this below points.

1. How to connect Direct Query functionality against OData sources?
2. If the answer to (1) is no, how does one deal with OData sources that have millions of rows when up-front filtering is not an option.