This is only partially true. In the case of a large dataset, Power BI will query the full dataset, then only load the records that match the filter definition. However, this does not really solve the problem because GA will return sampled data if the request is too large. Unfortunately, there does not seem to be a way to stop P BI from making a full dataset request becaue there is no way to set the GA start and end date parameters. Consequently, the data that is downloaded could be the result of a very high sampling rate even if you are only interested in a small slice of data.
The Power BI team should really make it possible to set the additional GA parameters like start date, end date, segment ID. They are pretty important when working with the Google Analytics api.