Thanks for the response.
The dataset is already present in a workspace inside of Power Bi service.
If I open up Power Bi Desktop and choose that dataset (Power Bi datasets) it shows ‘Connected live to the Power Bi dataset …’. If I want to make some changes to it I can click ‘Make changes to this model’.
Then it automatically switches it to DirectQuery after it asks me to add a local model.
But no matter what, whenever I want to see the latest data inside of my visuals, I still need to refresh the dataset by clicking the Refresh now icon.
Does this mean I have to connect to my SQL server directly from Power Bi Desktop in order to avoid to refresh my dataset manually?