A Database's Prime Objective is to Capture and Store Data
I strongly believe that a database's primary objective is to capture and store data. Querying data should never compromise this goal.
With that idea in mind, I wrote an article for MSSQLTips that outlines how to use an XMLA endpoint to import data into Power Query instead of directly connecting to a SQL Database. Granted, my article assumes that you have Power BI in the first place.