As you've discovered, you cannot change the date format in Power Query. There are only two date formats in PQ (US Formats): mm/dd/yyyy hh:mm:ss AM/PM which is Date/Time, and mm/dd/yyyy which is just date. That said, it doesn't matter - data in PQ itself is never presented in a Table or Pivot Table. Obviously other non US formats are also supported, but they just reverse the Month and Day positions.
It can also be formatted in the Data Model which is advantageous because it will retain that formatting, as well as formatting for other Numeric data will flow through to Pivot Tables or Pivot Charts.
