I have a database working in DirectQueryWithInMemory mode. I'm able to connect an MDX window in SSMS and specify DirectQueryMode=InMemory in the additional connection string properties. Then when I run a DAX query it doesn't execute DirectQuery SQL but rather answers from VertiPaq.
I would have expected that to be able to use this database from Excel, I would have to put DirectQueryMode=InMemory on the connection string. However, when I do that, I get a non-specific connection error in Excel. In order to get a more specific error message, I wrote a C# app that opened an OLEDB connection. See below for the error message I get.