The important difference here is that there is now one step in this query instead of two: the query and the filtering take place in the same step. Even more importantly, regardless of the data privacy settings, the query fails with the error:
Formula.Firewall: Query ‘DimDate With Native Query Single Step Fails’ (step ‘Source’) references other queries or steps, so it may not directly access a data source. Please rebuild this data combination.
The problem here is that the Power Query engine is not allowed to access two different data sources originating from different queries in the same step – as far as I understand it this is because it makes it too hard for the engine to work out whether a step connects to a data source or not, and so which data privacy rules should be applied.
This is an interesting downside to putting in complex data privacy rules.