Where will the added custom step be performed in the dataflow transformation?

The added custom step in the dataflow transformation will be performed in the Microsoft Power Query engine. This engine is specifically designed to handle data transformations and manipulations during the data preparation phase of a dataflow. It provides a sophisticated environment where users can apply a variety of transformations to their data, such as filtering, aggregating, and shaping data according to their needs.

Power Query allows users to write custom M code or use its graphical interface to create these transformations, making it versatile for both technical and non-technical users. When you utilize custom steps, they are executed within this environment, ensuring that data is appropriately processed before moving to the next stages in the data pipeline.

In contrast, the other options refer to different components or environments where data might be queried or transformed, but they are not specifically related to the custom step mechanism within dataflow transformations. Thus, the Microsoft Power Query engine is indeed the correct answer for performing these added custom steps.