This query has something in it – I don’t know what – that means that it cannot make use of the Analysis Services Storage Engine cache. Every time you run it SSAS will go to disk, read the data that it needs and then aggregate it, which means you’ll get cold-cache performance all the time. On a big cube this can be a big problem. This is very similar to problems I’ve seen with MDX queries on Multidimensional and which I blogged about here; it’s the first time I’ve seen this happen with a DAX query though. I suspect a lot of people using Power BI on SSAS Multidimensional will have this problem without realising it.
This problem does not occur for all tables – as far as I can see it only happens with tables that have a large number of rows and two or more hierarchies in. The easy way to check whether you have this problem is to refresh your report, run a Profiler trace that includes the Progress Report Begin/End and Query Subcube Verbose events (and any others you find useful) and then refresh the report again by pressing the Refresh button in Power BI Desktop without changing it at all. In your trace, if you see any of the Progress Report events appear when that second refresh happens, as well as Query Subcube Verbose events with an Event Subclass of Non-cache data, then you know that the Storage Engine cache is not being used.
This doesn’t look to be a quick fix, so do read the whole thing to help figure out how to avoid this issue.