I have the exact same problem and I'm sure Power BI does at least the number of additional queries per item as lookup columns you have in the list. For me it takes hours to get items from a list with <5000 items.
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I have the exact same problem and I'm sure Power BI does at least the number of additional queries per item as lookup columns you have in the list. For me it takes hours to get items from a list with <5000 items.