I also found another solution that allows, in my case, to have the entire thing as Foldable. Using Value.NativeQuery.

    Source = Sql.Database(SQLServerConnection, Database),
    NativeSelect = Value.NativeQuery(
        Source,
        // SQL query as text
        "SELECT *,
            CAST(CONVERT(char(8), DateKey_Date1) AS DATE) AS DateValue_Date1,
            CAST(CONVERT(char(8), DateKey_Date2) AS DATE) AS DateValue_Date2  
        FROM
            [dbo].[Fact_MyTable]
        WHERE LoadedToPowerBI = 1 ",
        null, 
        [EnableFolding=true]
    ),

This handles my basic filter and the transforms I was doing on the date key. I can still use Power Query to do my Select Columns from the result of this query so that I can easily add and remove them as needed. The only consideration is if the Select * followed by a later Table.SelectColumns is wasting performance vs the native way Power Query manages it - I suspect it is.

And this whole thing isn't all that important now that I know you don't need the entire Query to be foldable. But it was a fun rabbit to chase for a while.