Yeah, it's a real pain - Microsoft still hasn't brought Power BI to Mac and there's no sign they're planning to. You're stuck with Parallels if you want a virtual machine route, but that's another subscription to swallow.
When I was doing my Master's, I ended up picking up a cheap second-hand Windows laptop from a local shop just to run SAS locally for one of my machine learning modules. We didn't touch Power BI in my programme - the data viz class was all Tableau instead. For SQL, some coursework ran through a separate tool inside Canvas, and in another module we used Python to spin up databases and query them with SQL right in the code. That bit works on Mac fine.
So really, it comes down to how much hassle you can stomach. If you want to keep things simple and your budget's tight, just go Windows.
