No way. The initial loading into a dataframe takes way too long to make it useful for exploratory work. Load it into a database is done once and forget it. In the long run, the time wasted loading things into dataframes over and over and over again just isn't worth it. Keep in mind that we're talking about large datasets that may or may not fit into memory.
"Oops, messed up my import slightly. Gotta run it again and wait ages.... again"
"Oops, loaded the dataframe twice on accident and had OOM. Gotta restart from the beginning... again"
"Oops, forgot to .head(5) my dataframe and jupyter's crashed... again..."
Doing everything in SQL solves so many problems. And OOM is practically a non-issue.