Wolfgang Strasser explains the notion of chaining when working with Power BI datasets:
In my last blog post I introduced the new concept of DirectQuery for Power BI datasets. This feature allows you to extend and modify a (remote) published Power BI dataset with the help of a local model.
The local model does not contain a copy of the remote dataset but a reference to it. You, as Power BI developer, are able to extend the referenced model with new data sources (like the Excel file I used in my previous example) and/or extend the model with new measures, columns and so on. For a new data model, relationships between the two data islands can be created.
Read on for examples of how this can be useful and what the current limitations look like.