Connect directly to a specific SharePoint Folder - not the entire site

You can avoid it by this way

1. Create a blank query in Power BI.

2. Paste the below code there

let
    Source = SharePoint.Contents("https://mycompany-my.sharepoint.com/xyzabc/", [ApiVersion = 15])
in
    Source

3. Replace https://mycompany-my.sharepoint.com/xyzabc/  with your company's sharepoint root URL. (You already know this as you are able to connect it using Sharepoint.Folders.

4. Now, first column will have many tables. Click the table which contains your folder (this should be at the bottom). You may be required to click that column mulitple times depending upon how much down your folder is.

5. Once you reach to the required folder, do the required transformations