I have come across several questions on how to handle Multiselect Option Sets in Power BI. This is specifically in terms of how to get the names (labels) and not just comma separated values. I recently had a chance to play with this and hopefully it will help someone who finds themselves trying to achieve the same goal.
One of the key components to getting the label information into Power BI is to use the odata.include-annotationsodata.include-annotations="OData.Community.Display.V1.FormattedValue" as the Prefer Header in the Web Data Source. This would assist us to get the underlying text (label) of the OptionSet. On the right is a screenshot of a simple example.
Once you do the above, you can add a navigation step to get the list of records.
Convert the List to a Table
When that is converted, you can expand the table to show columns you need. Of particular interest in our case is to show the columns that end with @OData.Community.Display.V1.FormattedValue
Now that we have the Multiselect option list here displayed as a comma separated values of labels rather than values. You can merge this query with other queries to transform the data into anything you further desire.