Marco Russo and Alberto Ferrari prime the pump:
When you import a table in Power BI, all the strings contained in a text column are stored in a dictionary, which improves the compression and provides excellent query performance when there is a filter with an exact match for the column value. However, reports that apply complex filters on a text column may have performance issues when the dictionary has a large number of values: depending on many other variables, a column with a few thousand unique values might already present a bottleneck, and this is definitely an issue when there are hundreds of thousands of unique strings in a column.
In October 2022, there was an internal optimization in Power BI that has improved the performance of these searches by creating an internal index. Chris Webb described this optimization in his article, Text search performance in Power BI. In this article, we explore how to evaluate whether the optimization is applied and how to measure any performance improvements. As usual, everything comes at a price: creating the index has a cost, that you will see applied to the first query hitting the column. We will also see how to detect this event and the existing limitations for this optimization.
Click through for their deep dive into the process. The final answer reminds me of the warehousing world, where you might pre-run some important queries to get those pages into the buffer pool and available for later reports.