The main reason is that in practical terms using the native connector only works for small amount of data and simple queries. When you start using it on lists with many thousands of items and/or want to run queries across many large lists, you soon hit limitations in terms of amount of data you can query and the time it takes to execute them.
When you connect to a data source (e.g. a database, Excel file, or in this case SharePoint lists) from power BI you can choose two way of connecting to it:
AxioWorks SQList continuously export SharePoint lists and libraries as normalised SQL Server tables, making live SharePoint data available to reporting tools like Power BI, Crystal Reports, or SSRS.
The Power BI built-in connection to SharePoint only allows you to use the “Import” connection type.
Additional advantages of using SQList are:
Finally, there are some features that are available in Power BI when using “Import” rather than “Direct query” (this is good summary https://powerbidocs.com/2021/02/21/power-bi-import-vs-direct-query-mode-difference/), but that can be easily replaced by equivalent (and even more powerful) functions in the SQL Server side.
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