We have two data sets.
Each data set has folders where we place measures
Sorting, where we use data items to sort other data items
And we have added lots of formatting on the data
We have the Preview option selected above. So now we can add in one data set
Then we add in another data set.
This is great, however once done, we lose all the folders, formatting and sorting,
We have sadly had to make the decision that this isnt yet fit for purpose. So basically, if we can have this option and not lose work we can go back to hopefully using it again
It is the limitation in directquery for power BI data set in power bi for now,
see more details as below document: