> The Data From Text wizard lets you easily import the data... but if you do that then the first row no longer defaults to headers. So if you open it that way and want to filter or sort the data, your headers will disappear. You have to go into full blown Power Query to do both prevent reformatting and use column headers

You don't, because while the wizard doesn't default to headers, the first screen of the wizard has a checkbox for it, so the option is there without Power Query.