One point of confusion I see with Power Query is some people believe Power Query adheres to the Excel limit of a max of 1,048,576 rows that can be imported.  However, there is a way around this limit.  When using Power Query, on the Query Editor dialog, under Query Settings, near the bottom you will see these settings:

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What each setting means:

Load to worksheet: This specifies whether the data to be downloaded will be stored in an Excel table within the worksheet.  The box is checked by default.

Load to Data Model: This specifies whether the data to be downloaded will be stored in the Data Model (i.e., Power Pivot).  This is NOT checked by default.

The million rows limitation exists only if you import data into an Excel table (by checking the “Load to worksheet”).  If you load the data directly into the Data Model by checking “Load to Data Model” and unchecking “Load to worksheet” then you don’t have such a limitation.  The other reason to use the settings this way is to avoid the worksheet size limit in Power BI for Office 365 for browser display of 10MB and instead use the data model limit of 250MB.

If you leave both boxes unchecked, the query will be saved but no data will be downloaded.

Note that “Load to Data Model” will not show up as an option if you are using Excel 2010.  In 2010, you will need to use Power Pivot to pull on the connection created by Power Query to load data into the data model.

More info:

Power Query Data–Should it be Loaded to the Worksheet?

How To Load Data Directly Into the Excel (Power Pivot) Data Model