I opened a case with Apple about this issue. Apparently it is by design. Direct transfer would copy any management profiles over to a new device. When the new device checks with Apple and it sees that it's DEP enabled, it will not allow that option as it would overwrite the management profile already pushed to the device. This is more likely a limitation witht he Direct Transfer capabilities, which was probably just designed with consumers in mind, and not enterprise.Not sure why iCloud restores to a new device know to exclude the management profiles though.