I am not aware of a previous case where RealSense has been used with DirectShow, so I cannot comment on whether it would work, unfortunately. There are some other options though that I can highlight.
* It is possible to use Python to convert a RealSense stream to ASCII text characters, which would use very little storage space.
* Users of Intel Aero drones, which can have a RealSense R200 camera attached to them,use software called Gstreamer to record and save files via FFMPEG. Although those users do so via Ubuntu Linux, Gstreamer has a Windows version, so perhaps you could adapt that technique.
* On the subject of RGB-D depth stream compression in general, the link below contains sources for a range of different compression methods.