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Hi everyone. There are some really interesting ideas in this thread, thanks for your vocal support about it! We’ll consider it for the future along with other suggestions and plans. Thanks!
As you point out, currently you can use Power Query or the Power BI Designer to author reports based on SQL Azure data sources. You can then publish these reports to the Power BI Service and refresh them, create dashboards on top, etc.
We’re considering improving this in the future to also enable “live connections” to the data source, without the need to import data from them as happens today.