Yes, I've heard about it. And you would be surprised, how often the answer to putting your company data on other's people computers is: No.

good thing it's the same here for Google data studio...

powerBI cloud has a free tier and does not require a subscription to try afaik: https://powerbi.microsoft.com/en-us/pricing/

in either case, you can work with spreadsheets stored on your computer, but in any case just like Google, you'd have to upload it to work with it.

the pro version doesn't tie you to O365 either even though it uses the same platform