it is not possible to retrieve SharePoint Managed Metadata Columns in a proper way with Power BI. https://social.technet.microsoft.com/Forums/en-US/68f1418a-8a5b-4f7e-a575-3aaf532992aa/no-managed-met...
Instead OData-Connector use the SharePoint-List-Connector. Since 15-Hive-API it is capable to expand the text values of Managed Metadata Columns. Search for a Summary Column with Title "FieldValuesAsText". You will get the text Values of Taxonomy-Columns.
