As of now, BI Connector doesn't support bidirectional cross-filtering feature for DirectQuery in PowerBI.
In order to not use cross-filtering for DirectQuery, this feature must be disabled. Follow the below steps to confirm if this feature is disabled.
- Navigate to the menu File > Options and settings > Options > Preview Features.
- The box next to Enable cross filtering in both directions for DirectQuery, as shown in the following image must be unchecked.