I am new to DDS.... so far I have little experience in OpenDDS and CycloneDDS
Is it possible to define a class inside the idle file and have member variables and member methods? or only structure and primitive data types are supported in DDS standards?
The IDL language is defined in the OMG IDL specification. It consists of a number of building blocks that include Core Data Types, like the structures and primitive data types that you mentioned, and Interfaces, that includes the methods you asked about.
However, only a subset of those building blocks is used by DDS. For the current version 4.2, section 9.3 DDS Profiles defines which of them are relevant for three different levels of support by DDS: Plain DDS, Extensible DDS and DDS over RPC.
You will see that the latter indeed includes Building Block Interfaces - Basic, as you might expect from RPC. However, not all DDS implementations support RPC. Plain DDS and Extensible DDS are more commonly supported and interfaces are not part of that functionality.
Since you asked about this in another question: note that the interface functionality as captured in DDS over RPC is not for the purpose of distributing objects with their methods, but for invoking methods on objects remotely -- as the name Remote Procedure Call implies.