How does Append Queries work under the hood?

I have 3 tables, namely data_2020, data_2021, and data_2022 (all using DirectQuery), which are stored in a cloud server because of how large the datasets are. If I Append Queries as New these three tables such that I have one main table, data, would Power BI know which tables to query from based on the year selected? For example, if I select the year 2021 on a slicer, will Power BI query only data_2021 or will it first perform something like UNION ALL among the three tables and then filter to only 2021?

Here's a reference on what I did if I didn't choose to append the three tables as one: https://community.powerbi.com/t5/DAX-Commands-and-Tips/How-do-I-select-which-tables-to-calculate-on-based-on-the-date/m-p/2854837