If statement to give value when between two numbers.

That formula is to be done in the Designer and not in Power Query.

If you want it done in Power Query (which has a different syntax and is a separate language) try this.

let 
VAL = [Inherent Risk Rating]
in
if 
VAL <= 5 then "Insignificant" else if
VAL <= 10 then "Minimal" else if
VAL <= 15 then "Moderate" else if
VAL <= 20 then "Significant" else if
VAL <= 25 then "Extreme" else 
null

Sample PBIX for your reference - https://drive.google.com/file/d/1vjiQ_7xdMf5LupiLWCzu-GvGy7rm2qzF/view?usp=sharing 

Sorry I'm not sure I've given you enought context. This formula is to look at another column, "Inherent Risk Rating" that is currently a numerical value which I want to group into the categories mentioned above. What I'm trying to do is add a custon column in power query that takes the Inherent Risk Rating and it groups it depending on what range it is in.