I just loaded the data as shown in your post, then used Home>Advanced Editor to change the query to this:
let
Source = Json.Document(Web.Contents("https://sampleserver6.arcgisonline.com/arcgis/rest/services/LocalGovernment/Events/MapServer/0/query?where=1%3D1&outFields=*&f=pjson"))
in
Source
So it showed this:

After a little inspection of your link, it seems the features are what you want to return.
So, I clicked on the features List shown in the image above and got this:

I right-clicked the column and chose "To Table" and configured it with Delimiter None and show extra columns as errors.
Next, I renamed the column "Features" then clicked the double-arrow to expand each record:

I then do the same thing to Features.Attributes and Features.Geometry to expand all the feature columns.
I then click Home>Close & Load and have the data in my workbook:
