Row-Level Security with Direct Query

Hi 

I  am working in the Project  which  will   go to  PowerBI  embedded finally .We did not  upload to AZURE yet

At this moment  

Connection is  in power BI  desktop  with DIRECT  QUERY  to 2016 SSAS  Tubular .

I am   working and testing  in  Row-leverl  security  portion  because  we only allow customer  look at their own  purchase history.

I try to follow 

https://azure.microsoft.com/en-us/documentation/articles/power-bi-embedded-rls/

But the  Manage Roles is  grey out in Direct Query mode. 

All the customer  ID  is  outside domain.

What should I do?

Thank-you