After 64 minutes the dataflow had processed 106 million rows. (so, now it's using storage capacity that the broken Fabric Metrics capacity app won't show me?) Once that was completed, I could create a new Power BI report using the dataflow. When I select the tables and click Load, I can select Import or Direct query. If I select the tables and Transform Data, once I select Close and Apply and wait for a bit for Power BI to process who knows what, I can select Import or Direct Query for each table. At this point, Power BI has not produced anything to help me make that choice, so I don't know what value it thought it was adding during the delay.

As for the report I created from the dataflow before I followed the instructions in the question: I don't see any way to choose Import or Direct Query and when I click Refresh I see it wants to load data (so it's in Import mode). So that's a complete do-over.

Overall, my Power BI journey has been less than pleasant so far. But that's OK. I'm sure the product will get a complete overhaul soon (like it has every month) so the problems I'm having today will be replaced by completely different problems.