Sometimes there is a direct measure. For example, runners or swimmers who want to improve their performance in a 100-yard race can measure their times directly as a performance measure. In golf, measuring performance by the score shot may seem appropriate. However, it is important to note that the golfer's score is not as direct a performance measure as the swimmer's time, because factors like course difficulty and playing conditions vary considerably. In tennis or figure skating, it is even harder to arrive at a performance measure.
Similar difficulties arise at work.
Suppose we want to improve morale. Surveys are a possibility. The answer is subjective, and people may tire of being asked this question periodically, especially if morale does not improve. Eventually, we might devise a measure that is indirect, but easier to obtain, like attendance. A performance indicator is born.