Difference between Import and Direct Query?
Import
Extracts the data from your database and pulls it into the Power BI Desktop.
Gives you the full suite of transformation and data manipulation in the Desktop.
There is a 1 GB limit to the Desktop if you plan on publishing to the PBI Service.
Can only be refreshed up to 8x a day by setting up a scheduled refresh (In the Service)
Direct Query
Leaves the data in the database and sends queries to pull the information needed.
Limits your ability to manipulate data on the desktop.
Leaves data in SQL Database.
There is no need to schedule.