I would like to see standard undo functionality in the Power Query Editor, as well as a way to discard changes instead of being forced to apply them.
I was recently working on a lot of modeling and transforming, bouncing between the Power BI Desktop window and the Power Query Editor. I would hit "Close & Apply" regularly, check my results, do more work on visualizations, then go back and create new queries/transform more data. I made one change and wiped out a "Rename columns" step for a query that had a lot of column names that I cleaned up. I hit Crtl-Z and nothing happened. I tried to discard the changes by just closing the Power Query Editor and was told I had changes that needed applied. I tried to just save the report but the only options were to apply the changes or apply them later, neither of which were what I wanted. I just needed to get back the one step to save myself 10 minutes or so of editing column names. Then I realized I hadn't saved the report overall in several hours because I had been "Close & Apply"'ing and didn't realize that it doesn't save the report when that happens.
Seems like a silly thing to leave out of the Power Query Editor. It obviously keeps track of the changes because it is telling me I need to apply them. Frustrating way to start the day. "Save early. Save often." still applies in a world of auto-save I guess.