When should I use Import and when should I use Direct Query?

I'm struggling with when it's best to use import and when it's best to use Direct Query. I generally use Direct Query when my data set is over one million records, but I often struggle with being unable to perform transformations in Power Query when using Direct Query (often get the pop up bar that "this can not be performed in Direct Query")

It seems so much easier to use import and not have limitations on data transformations in Power Query.

Looking to really understand if I can utilize Import and when Import is no longer feasible and Direct Query is required.

Can anyone shed some light on this for me?