Currently the databricks connector does not allow to see the folded query. This is a major drawback when trying to understand what queries are sent to databricks. Recently the same support was added...
Here is a workaround to check for query folding in Databricks. Basically, you can view the query history in Databricks and see if the query generated by Power Query looks like it folded.
https://medium.com/@harmonybi/power-query-query-folding-with-databricks-d51dc8c6029b
