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Couldn’t Fold Expression to Data Source in Power BI

Chris Webb explains an error message:

If you’re using DirectQuery mode in Power BI you may occasionally run into the following error message:

OLE DB or ODBC error: [Expression.Error] We couldn’t fold the expression to the data source. Please try a simpler expression..

What does it mean and how can you fix it?

Read on for the answer, as well as a quick depiction of query folding.