Measure Dynamic formatting doesn't work in reports connected to PBI dataset

Hello!

I used Dynamic formatting for measures and it worked fine as long as the report was in the same file as a dataset. But now we need to create separate PBI reports and connect them to the existing dataset. Unfortunately, it doesn't work if we create a measure in a report which is live connected to a Power BI dataset.

Is it a bug or know issue?

Please, advice.

Thank you.