Jason Cockington digs into the two modes:
Over the last few months, I have received a number of very similar questions at either one of our Live Training courses or from a student attending one of our Ask Anything Power BI Q&A sessions. These questions all revolved around DirectQuery and were often specifically about performance issues or complexity of DAX calculations being written on the Power BI reports. This prompted me to write this post, as it became abundantly clear that most students were opting for DirectQuery when they should have been selecting Import. If you are not sure if DirectQuery is right for you, then read on, as we explore further.
Jason includes some Real Talk from Chris Webb, fairly eviscerating DirectQuery mode in the majority of cases.