What is the difference between Microsoft Lists and SharePoint Lists?

1. Nothing but branding, MS Lists is designed for Teams, and they dropped the SharePoint branding to prevent confusion (Though realistically, MS Teams is just a UI wrapper for SharePoint if you get down to it)

2. See 1.

3. You can. In MS Teams, navigate to the "MS List", click the three dots in the menu bar and select "Open in SharePoint". This gives you the Sharepoint URL you can use to import the list into Power BI. 

Essentially Microsoft are trying to cut down confusion but it's just causing more confusion as they don't update their other programs to reflect these changes.