If you want load the data as a connection only or need to load it into the data model to use with power pivot later on, then you need to select Close & Load To instead and select these options each time you create a new query.
This is the default load settings in power query. When you press the Close & Load button for a query the first time, power query will load the data into an Excel table in the workbook and doesn’t add the data into the data moedel. Now the next time you refresh the query loaded to your table, a new column called _RowNum will appear as the left most column and will contain an index for the row number starting at 0. This will open the External Data Properties menu and you can check the Include row numbers option and press the Ok button. Note that the Properties option found in the right click menu of the Queries & Connection pane will open the Query Properties window and not the External Data Properties window that is needed for this tip. Select a cell in the table output and go to the Data tab and press the Properties button. You can add an index column to any query through the power query editor, but it is also possible to add an index row to a query that’s been loaded to a table in a special way. Automatically Add a Row Index to any Query Loaded to a Table This will open the query editor on the selected query. The quickest way is to double left click on the query.