Power BI : What's the Different Connection Type Import, Direct Connect and Live Connect

 When we are talking about the Connection types, I didn't mean that the Data type which are Excel or SQL Server ..etc
I mean we have 3 Major connection types in Power BI as below 
The first is the most widely used and is the default when connecting to most data sources. It is Import. This connection will ingest or pull the data from the data source and become part of the PBI Desktop file.  An example of where you would select import Is in the SQL Server dialog box.

1- The Import Type

You can import data from a SQL Server by clicking Get Data on the Home ribbon.

The import connection type allows you to use the full capabilities of the Power BI Desktop and you can manipulate it however you see fit. A way to validate this is by looking at the left-hand navigation and you will see three selections.  The top selection which resembles a bar chart is the Report Page.  This is where you would place all your visuals and develop your report pages.  The second item from the top, which looks like a table is just that, the Data view in a table form.  This lets you see all the data contained with a loaded data table.  Finally, at the very bottom, the relationships selection.  This is where you will see multiple tables and the connections between the tables.  The relationships section feels like working SQL or in Microsoft Access

2- Direct Query

We Will Notice that notice in direct query mode the third item, relationships have been removed.  The direct query connection type is only available when you connect to certain data sources. This connection is unique in that the data does not get loaded into the PBI Desktop.  What happens, is that Power BI can communicate in the language of the data source and request information as you interact with your Power BI Visuals. The useful thing about this connection is that the data never leaves the data sources, it is only queried.  Direct Query does limit what you can do from a data manipulation perspective.  Power BI assumes you are already doing all the necessary data manipulations in your source. As a result, you don’t even have the option to mashup data and that selection is removed in the left-hand nav.

3- Live Connection

There are only 3 data sources that support the live connection method at this time.  All of them are a type of (SSAS) SQL Server Analysis Service. Those types are Multidimensional, Azure Tabular and Tabular on-premises. The live connection type is the most unique in that it recognizes the full model or cube that you’ve created.  Power BI Desktop turns off all data prep features.  Thus, the usr is given a bare minimum in formatting and report side calculations.  All the heavy lifting is done on the server that supports the model and Power BI is only used as a reporting tool. This connection is used mainly by IT and enterprise implementations. If one looks at the left-hand navigation, you quickly realize that it is the most restrictive in terms of what can be done in the Desktop itself.

There is a fourth Live Connection that defaults to the connection type, and this occurs when you use the Power BI Service as a data source. This connection is using a SSAS connection, only the end users don’t need to set anything up other than having dataset to connect to in the Service.

And Find below the feature summaries for each connection type

Finally, there are two types of connections that dive a bit deeper than what comes with the Desktop out of the box. Those are Custom Data Connectors and API/Streaming. For the time being, we’ll leave these as just high-level points for now, and dive deeper into them in specific articles in the future.
I hope you’ve found this initial primer useful. As this series continues we’ll dive into some of the reasons for using each of these types of connections, why you would want to, and the positives and negatives in choosing which one, provided you have a choice
Good luck and thanks for following along.