Filter on Data or Power Query or DAX

I want to filter a characteristic value. 

I'm not sure which side should I filter them. 

I thought if I make it on Power Query, it will extend the refresh time.

Actually I don't know about data side. Does it affect the performance ?

Creating measure with DAX ?

I want to find out your preferences. In which cases do you use which one ?

(* I mean that the icon was shown  on left bar, which named as 'Data')