Dataflow - import files marked with sensitivity label (user defined)

Hello.

I'm trying to create a dataflow to import all Excel files in one sharepoint folder. Some of these files are marked as "highly confidential \ user defined" but my user has full control.

When I import them via PowerBI directly to semantic model there is no problem. However, when when I create a Dataflow I get the following error:

I'm providing organizational credentials to access the sharepoint, but I guess the same are not being used to access workbook data.

Any idea if this is possible?

Many thanks.