Immortals aren't Jedi, so all this "power" talk is not very precise.
They are still humans, with human bodies and associated limitations on muscle power, reaction speed etc..., so they can't increase "power" per se other than via combat training.
The only real non-human "power" of an Immortal may be the power of healing/regeneration (aside from "Buzz") in movie/TV canon. Presumably that healing power can grow with each Quickening, but I'm not aware of canon support for such a guess.
What does grow is combat experience/skill/fighting knowledge/etc... - the quickening evidently has a mental/emotional component, as evidenced by "Dark QuickeningDark Quickening" examples.
Caveat: in the rare cases when an Immortal does posess super-human powers (e.g. Nagano sorcerer's illusions from HL3), those powers can be absorbed through quickening. But that is rare - the only other Immortal in movies/TV with superhuman powers is Guardian of the Source with super-human speed, and we don't know if that was Quickening-transferable.