I would recommend you go over the recording of Power BI on Databricks Best Practices (youtube.com) webinar from couple of weeks ago.
On top of that, I would strongly recommend evaluating if you need to go through a PBI Data Gateway for security reasons.
Another suggestion is to really consider using tiered approach and not one-approach-fits-all. For instance - small-data models, that can fit in PBI and do not need complex security - you can do Import mode and use Databricks only during refresh times. For larger models, or data, where you have your data authorization in Databricks (RLS, OLS, masking, etc.), then go for Direct Query.
