It is not documented clearly how to run any arbitrary SQL query in Power BI desktop. It is definitely possible to easily run any SQL query as below:
First click on Edit Queries in the top ribbon and then go to Advanced Editor and type in the SQL query as given in the picture below. Click ok and then the small check mark on the left and below the ribbon will execute the query. You can change the query anytime by again clicking on the Advanced editor. You will see the table rows once you run the query.