Chris Webb lays out the limits:
A few days ago I was tagged on a thread on Twitter: my old pal Mim was upset to find that he couldn’t use a SQL query with a Common Table Expression as the source of a table in DirectQuery mode. He worked out why without my help but I thought that it was worth me writing up an explanation for other people who might be struggling with the same problem.
That’s a fairly frustrating limitation, even if you have control of the database you’re querying.