No Preview Tables with Power BI Datasets source- How to proceed

Hi Everyone,

Hoping you are all doing well!  I need some help, and my company doesn't quite have the depth of knowledge in Power BI to resolve.  

We've implemented a data mart and have dumped contents of our Dyanmics CRM into it (opportunities, anyway). I have been told to access this datamart via Power BI Datasets as the source (which I know nothing about).

Heres the challenge: once I'm connected to the data source, I don't have any sort of preview table where I can view the raw data.  

When I attempt to open Power Query ("transform data"), i get some notice saying I need to set up Direct Query connection, which I know absolutely noting about. 

I follow the "add a local model" prompts (whatever that means), and Power Query opens up, but no data tables show up, no raw data:

This is very new to me, but I think it might be native behavior with the data source I have to use, Power BI Datasets.  I can't set up relationships, I can't clean the data, can't create calculated columns or index columns. If I attempt to create a NEW table (perhaps a reference calendar table), the prompt for DirectQuery connection comes up again. 

In these situations, how do I go about executing all the typical things Power Query does for us??

Grateful for any guidance!

Chris