Going against training I received, Whether "View Native Query" is enabled is not a reliable indicator for query mode.

In my case, I have verified by means of a trace on the database server that the method described in the "Another way" section of my question actually does leave the report (table?) in Direct Query mode. Oddly, "View Native Query" was not enabled, but there was no big, yellow warning about being forced into Import mode like on my other attempts.

Hopefully the warning message IS a good indicator. I may investigate if it also lies.

Unfortunately, the sum total of this question and follow-up means that for anything interesting I'll need to write SQL rather than using Power Query for transformations if I want to use Direct Query.