I recently was testing DirectQuery to see the reporting differences in a Tabular Model. After Deploying to a development server and analyzing in Excel, the hierarchies for the Date and Product dimension were not available. SQL Server 2016 SP1 was used in this example.
You can go to this like from Microsoft about more limitations.
There was also difference in labeling when designing a Tabular Model in Visual Studio (SQL Server Data Tools – SSDT) and making a change to the Model from SQL Server Management Studio – SSMS.
In SSDT, The Property for the Model is DirectQuery and the values are On and Off.
In SSMS, The Property is Default Model and the values are DirectQuery and Import.
Not sure which I like better. But, what you are able to do is Deploy a model built with DirectQuery Off (with hierarchies), then change the property in SSMS on the database, and see the changes. Or vice versa. If you are previewing the DirectQuery Off Mode in Excel before making the change, when the data is refreshed, the hierarchies are removed.