Chris Webb shows off hierarchical navigation in Power Query against Azure Data Lake Storage Gen2:
While the documentation on how to import data from Azure Data Lake Gen2 Storage into Power BI is pretty detailed, the connector (which at the time of writing is in beta) that supports this functionality in the Power Query engine has some useful functionality that isn’t so obvious. If you look at the built-in documentation on the AzureStorage.DataLake M function in the Power Query Editor you’ll see there are a lot of options that aren’t in the documentation on the web yet:
Click through for an example.