Nope, no dumb questions. I consider myself pretty good at all this stuff and still find myself asking simple questions.
I believe it will only connect locally and not in to the service. My thinking here is that if we can find why a measure is taking so much memory (which could be a data modeling issue and/or DAX issue) we can start to troubleshoot that. If we see that “Measure A” is taking the longest locally we can assume that it is causing, or at least contributing to, the issue with the service. And the only nice way to get that info is through DAX Studio using the Query Plan and Serving Timings
That may contribute to a slower rendering of the visuals and such, but the memory being used would still be relatively the same I believe. But that I’m not 100% sure on, but I would start with the data model and look at the various tabs in the “VertiPaq” Analyzer" and see if anythings stands out. Pay special attention to the “Cardinality” column. Then I’d look at the All Queries and then the Query Plan and the Serving Timings.
Perhaps you can post a screenshot of the data model diagram and the “Tables” tab out of DAX Studio–>Advanced–>View Metrics–> Tables tab?