I have worked on an issue where one of the customers was unable to connect to Power BI through XMLA endpoint using SQL Profiler.
The error message looks like below:
To overcome this error, follow the steps below:
Open SQL Profiler, select Authentication method as 'Azure Active Directory - Universal with MFA'
Make sure you enter the database name in connection properties and add Database name under ‘Connection Properties’ tab(Specify a dataset (database) in your workspace. In the Connect to Server dialog, click Options > Connection Properties > Connect to database, enter the dataset name).
Make sure to enable XMLA endpoint in 'Read Write' mode and have access to database/dataset that was specified in previous point.
In the Admin portal, click Capacity settings > Power BI Premium > Capacity name.
Expand Workloads. In the XMLA Endpoint setting, select Read Write.