Is it possible to import data to Power BI direcly from any CRM, ERP and other databases, without importing them to a data warehouse first? Or is it absolutely necessary an ETL before importing to Power BI?
What are the backend databases of your CRM/ERP systems? In Power BI Desktop, we are able to connect to multiple types of databases such as SQL Server, Oracle, MySQL, DB2. If there is no built in connector for your backend databases in Power BI Desktop, you can consider to use ODBC or OLEDB connectors instead if it is possible to create ODBC/OLEDB data source for your database.
In addition, if your CRM/ERP system provides rest api, you can get data through using web connector in Power BI Desktop to connect to the api .
Not sure if you are open for 3rd party driver but ZappySys has very easy to use ODBC Drivers for REST API which can connect to any APi and it has many Pagination / Authentication options.`You can import data using SQL Query Language from any API without doing ETL.
You can write queries like below
SELECT * FROM $ LIMIT 25 WITH( src='https://wordpress.org/news/wp-json/wp/v2/categories?per_page=10' ,PagingMode='ByResponseHeaderRfc5988' ,WaitTimeMs='200' --//wait 200 ms after each request )
Here is an article you can start with.
Check below link for more articles related to Power BI and Rest API Integration.