VLookup in Power Query

THe easiest way to do this in Power Query is to merge the table with itself, but merge the Manager ID column with the Employee ID coluimn, then expand the grade.

Then expand that field only.

I see your example is using LOOKUPVALUE() - that is a DAX function, and you can use this as a calculated column:

Column = 
LOOKUPVALUE(
    [Grade],
    [EmployeeID],
    [mgrID]
)

It will return this:

But I recommend against it. In general, try to avoid calculated columns. There are times to use them, but it is rare. Getting data out of the source system, creating columns in Power Query, or DAX Measures are usually preferred to calculated columns. See these references:
Calculated Columns vs Measures in DAX
Calculated Columns and Measures in DAX
Storage differences between calculated columns and calculated tables

Avoid the temptation to work in the Data view and create a bunch of calculated columns like you would think of when using Excel when you just add another column. Power BI is very different and that is not a good practice to get into. Try to use Power Query for transformations and bringing in new data, and Measures for data analysis. Avoid Calculated Columns where possible.