Known issues:
1. In direct Query mode, while using the power bi connector, the date field does not show any hierarchy in column view. On loading the date column, the following error is observed in the details:
OLE DB or ODBC error: [Expression.Error] We couldn't fold the expression to the data source. Please try a simpler expression..
A potential workaround, and more details on this issue can be found here:
https://community.powerbi.com/t5/Desktop/Date-Hierarchy-in-Direct-Query/td-p/657982