Everyone's pushing AuditBoard's "integrated" reporting like it's a revelation. It's just a layer over the data. If you're already using Power BI, adding AuditBoard's reporting module feels like paying for a second dashboard that does less.
The real question is about control. Power BI direct connect gives you the raw tables. You can join, filter, and calculate anything, even if it's ugly. AuditBoard's reporting forces you through their pre-built "analytics," which are just pre-canned queries with their business logic. Need to tweak that logic? Good luck. You're now dependent on their support and their release cycle for any new metric.
So which is better for true ad-hoc? If your ad-hoc questions fit neatly inside AuditBoard's worldview, maybe their module. If you ever need to question how they define "completion rate" or want to merge audit data with an external source, Power BI direct is the only path that doesn't end in a dead end. You're just trading a license fee for vendor lock-in and a limited toolset.
Your vendor is not your friend.