Hi @Alexi_Antonino - Thank you for your reply.
From my understanding, Direct Query (and Premium plan) are not mandatory
see Incremental refresh for semantic models and real-time data in Power BI - Power BI | Microsoft Learn :

Incremental refresh is supported for Power BI Premium, Premium per user, Power BI Pro, and Power BI Embedded models.

I don’t want to have real time data at this point and it seems that PBI Pro is satisfying for now.
So AFAIU the most important is to know if Atlas MongoDB connector is able to do Query folding.
I will continue investigating and am waiting for your feedback.
Thanks
Regards