Currently it is not possible to connect a DataFlow directly to Business Central, like it is in Power BI Desktop:

https://docs.microsoft.com/en-us/power-bi/transform-model/dataflows/dataflows-create#create-a-dataflow-using-define-new-entities

https://docs.microsoft.com/en-us/power-bi/connect-data/power-bi-data-sources

There's the ODATA connector, but that is kind of 'buggy' since it does not always load the data, when connecting to the Company webservice, to create a multi-company report.

A great advantage of DataFlows is to create reusable transformation logic that can be shared by many datasets and reports inside Power BI. You can create a single source of the truth by forcing analysts to connect to the dataflows, rather than connecting to the underlying systems, providing you with control over which data is accessed, and how data is exposed to report creators.

And performance wise it also has a lot of advantages.