PQ skips steps when loading data into the model

You can't really. Power Query is not designed to be a functional programming language, more a querying language. Therefore emphasis will be on optimising your query as much as possible instead of running each step.

I believe you can use the function Table.Buffer . This will load the table into memory.

E.G:

//request 2 - StatisticsSessionId
StatisticsSessionId = Table.AddColumn(#"Expanded Authorization", "StartStatisticsSession", each fnStartStatisticsSession([SessionId])),
#"Expanded StartStatisticsSession" = Table.ExpandTableColumn(StatisticsSessionId, "StartStatisticsSession", {"StatisticsSessionId"}, {"StatisticsSessionId"}),

//buff 2
BUFFStatisticsSessionId = Table.Buffer( #"Expanded StartStatisticsSession"),

//request 3 - NavigationFiltration
NavigationFiltration = Table.AddColumn(BUFFStatisticsSessionId , "NavigationFiltration", each fnNavigationFiltration([SessionId], [StatisticsSessionId])),

and so on. Although this actually loads each step into RAM so is not very efficient.