Better way to load dataset

The answer is a solid "Maybe".  This is going to completely depend on what is contained in your data.  If you are getting your data from an SQL database, you are advised to set up a data View to limit the data to whatever is required.

I would certainly simply consider that you want to strip out any data that you don't need.  Remove columns you don't want.  Remove rows before a certain reportable date if required.

Yeah you can think of it like that.

Power BI does have the ability to directly query a database as well, but i tend to avoid it where possible.