51 votesJuan Pablo Zuloaga commented
There are a number of limits set by Salesforce on API calls for Salesforce Reports. It is reasonable to think Excel report can support more than 2,000 rows on a typical report. That is first roadblock to resolve. In addition to that, there are other limits such as user concurrency and number of API calls per hour.
Ideally, Microsoft is able to discuss with Salesforce to understand how best to use this connection without reaching any limits and allowing Power Query and Power BI be utilized using Salesforce Reports data.