SQL Data pull put stress on the system?

Hi Keith, 

It's a bit hard to answer when I do not know the exact situation, but apparently yo  do not either. So here's what I should do.

Try to connect to the sql database with a tool like SQL Server Management Studio, Azure Data Studio or something similar for other SQL database systems. Check what tables are there and do a select count(*) to check the number of records for each table. And maybe group it by year or so, so you get some idea of how much data you need.

If it's a special database for reporting, then your query will not harm operations, maybe the reports get a bit slower, but OK. If it is a query on the transactional database that people also use for provcessing transactions, then you may need to find a suitable time slot to do that. But in principle is a database meant for storing and retrieving data, so you need not be too scared. 

When you decide to import stuff in Power BI I recommend to set up incremental updates. Then the first load may involve a big data volume, but the subsequent loads only retrieve the new or changed data, and not everything again. 

When you do this step by step, you should be fine.