I'm having the problem below, I've put the credentials again, but the error continues.
Have the same issue when connecting to a Dynamics 365 database. (for the demo CRM Online Sales Manager Dashboard actually)
You change to oAuth and sign in and it connects fine, but then i reverts to anonymous and shows the
error next time you look.
The issue with CRM I Believe is that the instruction requests you to connect to the following oData connection https://<Orgname>.crm4.dynamics.com/api/data/v8.0
But actually the updated oData connection format should be like this
https://<Orgname>.api.crm4.dynamics.com/api/data/v8.2/
It works OK in PowerBI Desktop with the wrong connection method, but not in PowerBI service.