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Working with a prototype of a lightning web component, I get that the datatable, just like its Aura brother, needs the columns to be manually specified.

That being said, I have the following specification for a datatable that receives pricebook entries:

const columns = [
 label: 'Name', fieldName: 'Product2.Name' 
]

The names do not display on the component, but if I use a forEach to list the data retrieved by the component, I get the products names, like in:

connectedCallback() 
 getProducts( pricebookId: this.pricebookId, countLimit: 4 )
 .then(result => 
 this.products = result
 this.products.forEach(p => 
 console.log(p.Product2) // Proxy object is displayed
 console.log(p.Product2.Name) // The name is displayed
 );
 this.tableIsLoading = false
 )
 .catch(error => 
 console.error(error)
 )

If the datatable component does not support this, then the correct way of dealing with this is to work with the retrieved data, and build a new list with direct access to the data (no parent-child objects), or to edit the current data and include fields that I can access?

For example, should I iterate the result data and add a productName attribute to the elements, and then set 'productName' as the attribute on the column variable?

Edit: just noticed that you can't iterate the data list and create a new productName property. You end up with a TypeError: 'set' on proxy: trap returned falsish for property 'productName'.

The lightning:datatable assumes that the field name is not an object, but you can have a period in a field name.

Consider this data:

[ 'Product.Name': 'Hello' , 'Product': 'Name': 'World' }]

If you had data like this, the output in lightning:datatable would be "Hello", not "World".

Here's a copy-paste example for you:

<aura:application extends="force:slds">
 <!-- attributes -->
 <aura:attribute name="data" type="List" default="['Product.Name':'Hello', 'Product':'Name':'World','id':'5']"/>
 <aura:attribute name="columns" type="List" default="[ 'label':'Product Name','fieldName':'Product.Name']" />

 <!-- the container element determine the height of the datatable -->
 <div style="height: 300px">
 <lightning:datatable
 keyField="id"
 data="! v.data "
 columns="! v.columns "
 hideCheckboxColumn="true"/>
 </div>

</aura:application>

This is true for both the Aura and Web component versions.

So, to answer your question, yes, you will need to do some post-processing on your data. It can be as simple as:

this.products = result.map(
 record => Object.assign(
 "Product2.Name": record.Product2.Name ,
 record
 )
);