Each data source article in the Power Query documentation describes the capabilities of the data connector, such as whether DirectQuery is supported. The following image shows the Capabilities supported section for Azure Data Explorer (Kusto), where it states that DirectQuery is supported for the connector in Power BI. If DirectQuery (or any other capability) isn't listed, the capability isn't supported.
Many data connectors for Power BI Desktop require Internet Explorer 10 (or newer) for authentication.
Some data sources are available in Power BI Desktop optimized for Power BI Report Server, but aren't supported when published to Power BI Report Server. See Power BI report data sources in Power BI Report Server for the list of supported data sources.
Power BI Desktop and the Power BI service might send multiple queries for any given query, to get schema information or the data itself, based in part on whether data is cached. This behavior is by design. For more information, see the Power Query article that describes why a query might run multiple times.
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