Directly here refers to explicit detection (“here is a signal that is DM and gives us immediate knowledge about its properties”) as opposed to implicit detection through inferring DMs existence from a lack of something.
A lot of people complain about DM being fuzzy, and that’s exactly why: we only have indirect evidence. So what everyone wants is a direct measurement of DM, for example a particle signal if DM is a WIMP.
And to your last point: that’s exactly it, the thought of an unknowable thing in the universe is terrifying, frankly. And this has nothing to do with wanting to be right, whatever DM is, I just want to know, even if it’s fancy MOND without defects somehow, or MACHOs.
