Live connection and Direct query

Hi, Nadhiya14 

I have tried to reproduce your issue. Points to remember, you can not do transformation or add/hide column or query when live connected. 

In DQ mode you can create new column(calculated column) and do small transformations. 

see the limitations of DQ here: 

https://learn.microsoft.com/en-us/power-bi/connect-data/desktop-directquery-about?source=recommendations

However, are you sure you have correctly changed storage mode to DQ? How about follow these steps, see if these are the exact steps that you followed. 

1. Download the pbix file with a live connection. (for safety, in case you want to return to the original report later on). Note: If the file is in My Workspace you can not download the file with a live connection. It is not allowed.

2. open the PBIX, in the bottom of PBI desktop you should see Live connected power bi.... make changes to this model.

Click on it and you will see

click on Add a local model. Now select your desired dataset. then the connection will be in direct query mode. 

click on any table you want to add column, click three dots you should see new column option. 

but, in PQ query is not showing. I see that too. But you have a way to add column from the previous steps.