You're correct in assuming there is no built-in support that lists the direct methods of your device. A device doesn't publish what methods it has implemented by default.
Options:
IoT PnP
Microsoft created IoT Plug and play, which focuses on "device models". When a Plug and Play device connects to the IoT Hub, it can make its device model known. Part of this model is the concept of "commands", which translates to a direct method for IoT Hub. Your device probably doesn't have this device model yet, as PnP is pretty new. A device manufacturer/developer can integrate this model into the device.
Create your own index command
If you are the one writing code for this device, and you don't want to do PnP, you could create a direct method that lists all the methods supported by your device. Of course, you would need to know the name of that direct method to call it.
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