Currently the "Common Data Service (beta)" connector in Power BI only features "import" queries for data.
In 2017 there was a release of a "PowerApps Common Data Service" connector, that featured direct queries:
"Reports reflect real time data
There’s no need to schedule a refresh in Power BI. When the data is updated in CDS, changes are reflected in reports. Reports are interactive and responsive. You can interactively explore CDS data using the capabilities of Power BI."
Will this feature come again?
Direct query would be especially helpful in combination with passign through the current user, so that the security model of CDS is also respected in the reports.
Do you want to use "Direct Query" functionality when you import data from your CDS connector in your Power BI desktop?
I have made a test on my side, I afraid that there is no way to achieve your needs.
The "Direct Query" functionality is not supported within CDS connector in Power BI desktop currently, if you would like this feature to be added in CDS connector, please submit an idea to Power BI Ideas Forum:
Thanks for your feedback. I added an idea: https://ideas.powerbi.com/forums/265200-power-bi-ideas/suggestions/36500485-cds-integration-in-power...