When you select a field that is an option set or a lookup value through oData through Power Query it should atomatically give you the option to get the values (if it's an option set) or the lables if it's a lookup value.
I have a simple odata url that pulls StatusCode from Opportunity:
.../xrmservices/2011/OrganizationData.svc/OpportunitySet?$select=StatusCode
When that appears in the Query Editor you get the option to expand the record:
into the option set values:
