Regarding the performance difference, most probably there's an index on the [projectid] and the COALESCE function prevents the query using the index. How is the RLS set in your case, does it has anything to do with the [projectid]?
As far as I know, there's no way to influence the dynamic SQL generation.
Regarding the DirectQuery Mode, did you enable the option "Allow unrestricted measures"? It would definitely affect the performance.
By the way, I've also observed many in-efficient dynamic SQL in other cases. You can submit your feedback on Power BI Ideas.