Fuzzy Merge is a way of joining two tables together, but not on exact matching criteria, but on the similarity threshold. If you want to learn what is the Merge operation itself and the difference of that with Append, read my blog post here. If you want to learn more details about what is Merge and the different types of join or merge, read my other blog post here. Merge or Join is simply the act of combining two tables with different structures, but with link/join columns, to access columns from one of the tables in the other one.
To use Merge operation on the “source” query, You can click on the Merge Queries as New option in the Home tab of Power Query Editor window.
This kind of functionality was in SQL Server Integration Services as well but suffered from a huge scaling problem, where the component worked pretty well with small numbers of records, but once you got into the 100K+ range, everything started to fall apart. I’d be interested to see where that limit is in Power BI.