Chris Webb explains the cost side of the ledger when it comes to measure creation:
You probably know that it’s a best practice to build your Power BI datasets in a separate .pbix file from your reports – among other things it means that different people can develop the dataset and reports. You may also know that if you are building a report in Power BI Desktop with a Live connection to a published dataset or Azure Analysis Services you can define your own measures inside the report. While this is very convenient, if you create too many measures there’s a price to pay in terms of query performance.
Click through for a demonstration of this.