I must admit that in the last two years I’ve told many Power BI/Kusto customers not to worry about relationships that are created as M:M.
I was pretty sure that with Direct Query, such relationships are fine,
Indeed, the generated queries looked fine and performed as expected.
I recently became aware that the number of queries generated for some visuals e.g. Matrix and tables can be affected by the type of relationships between the participating tables.
Read on for a description of why you shouldn’t load your Power BI semantic models with many-to-many relationships, especially once Kusto is involved.