Before importing data into Power BI, it is usually preferable to clean and shape it in SQL for performance reasons. This is because:
Why Use SQL to Clean Data?
Directs computation to the data processing-optimized source database.
Speeds up refresh times by sending less data to Power BI.
Makes query folding more effective (Power Query transfers transformations to SQL).
Makes use of joins, indexing, and optimized SQL operations.
When Should I Clean Using Power Query?
For user-level, lightweight changes.
When your SQL knowledge is limited, or you lack control over the data source.
This is for one-time or ad hoc changes that are challenging to complete in SQL.
The Best Method
SQL is used to perform extensive data aggregation, filtering, and shaping.
For finishing touches, data formatting, and merging several sources, use Power Query.
Always check if your Power Query steps support query folding to push logic back to SQL and avoid loading all data unnecessarily.