When would you use DirectQuery instead of Import?

Use DirectQuery when data must be current to the second, or when the volume genuinely cannot be imported within capacity limits.

The costs are real: every interaction is a round trip to the source, many DAX functions are unavailable or slow, and some Power Query transformations are blocked because they cannot fold.

Import is faster for almost everything else. A composite model with DirectQuery facts and Dual dimensions is often the practical compromise.