If you’re using Power BI in DirectQuery mode against a SQL Server-related data source (ie SQL Server on-prem, Azure SQL DB or Synapse) you may have noticed a new feature that was released a few weeks ago: query labels that allow you to link a SQL query to the Power BI visual that generated it.
There’s nothing you need to do to enable it – it happens automatically. Here’s an example of a TSQL query generated by a DirectQuery mode dataset with it in:
Though I’m not sure if on-prem SQL Server or even Azure SQL Database has a nice way of viewing data by label. I know that dedicated SQL pools do and they’re a rather helpful method for figuring out who (or what) is doing work.