So far, this sounds great! You have now learned that you can connect directly to your data sources, without importing data into your model, and you won't have significant performance consequences. Of course, these benefits don't come without giving something up, so what are the limitations of a Live Connection? 

What you will encounter with Live Connections are limitations that are generally a result of the fact that Analysis Services is an Enterprise BI tool. Thus, if you are going to connect to it, then it has probably already gone through significant data cleansing and modeling by your IT team. 

Modeling capabilities such as defining relationships are not available because these would be designed in an Analysis Services Model. Also, the Power Query Editor is not available at all against a Live Connection source. While at times this may be frustrating, it does make sense that it works this way because any of the changes you may desire to make with relationships or in the query editor should be done in Analysis Services, not Power BI.