Power Query has the most features in the PowerBI version. Excel version has fewer features and in the video below you will see what are the main differences!
An additional key difference is that when used in Excel, PowerQuery can load the table back to the worksheet, where we can further adjust the table using native Excel options. On the other hand, in PowerBI we can only use PowerQuery to load the data into a data model and there is no easy way of further enrichment of the data from within the PowerBI (this feature is often referred to as write-back possibility).
Data sources that support Direct Query mode: https://docs.microsoft.com/en-us/power-bi/connect-data/power-bi-data-sources