Power BI can connect directly to many database engines. Queries are generated on the fly by the reporting engine in a proprietary language called DAX, and DirectQuery is a technology that translated DAX into SQL queries.
This is a mode of operation that has been supported by Microsoft's SSAS OLAP engine for years.
It works quite well, but you do run into some performance overhead with the transpiling step.
Feel free to reach out if you have more detailed questions. I work for an analytics consultancy and we're a Microsoft partner. I live in the Microsoft data platform (SQL Server and all related products).
This is a mode of operation that has been supported by Microsoft's SSAS OLAP engine for years.
It works quite well, but you do run into some performance overhead with the transpiling step.
Feel free to reach out if you have more detailed questions. I work for an analytics consultancy and we're a Microsoft partner. I live in the Microsoft data platform (SQL Server and all related products).