To start working on Jira data you need to Import issues from any of the saved filters (those are filters available for logged in user) or use JQL.
When fetching data from Jira, results are limited to 3000 issues.
When you have data in excel, you can easily change visible columns, reducing the number of visible columns will also increase performance.
As you can see, even after refresh columns stay hidden.
We are constantly increasing the number of available fields: Supported fields
Import issues will also pull metadata from projects - allowing you to create new Jira issues: Create new issue
At this article you can find answer for following questions:
What is the limit of tickets/issues that a filter can contain to show in Excel 365 connector?