Recently I posted about the same issue: https://wordpress.com/post/msolenacrm.blog/1580 . Yesterday I discovered a new way. It looks like OData connector is more friendly than the Web API one.
Use FetchXmlBuilder to help you to build the query.
Start creating you Dataflow:
For the data source on the tab Other pick up the OData connector.
For the Connection String URL will be like: https://<your_org_name>.crm.dynamics.com/api/data/v9.1/<your_query>
But it look very appropriate now: