There is some history here: Fusion started out life as a direct modeler only. Part way along in development, we realized that you just could not do everything with Press/Pull and Move Faces. So, we added these "direct modeling features" to try to make some kinds of edit easier. You can right-click on some of those features and "edit" them. It doesn't always work, and whether it does depends on what other features have been added to the design. For instance, if you create a hole, you can most of the time edit it. The "edit" here is really just: get info about the hole from the geometry (depth, diameter, etc), delete the geometry created by this feature, and re-invoke the Hole command, filling in the depth, diameter, etc).
The other thing you can do is use them as a way to select the faces created by this feature. Try it: create a direct modeling fillet, and the faces created by that fillet will be selected. This is useful if you want to "delete" the feature, for instance, or set its color to red, etc.

Jeff Strater
Engineering Director