Access External Power BI dataset

Hi 

I am trying to access a Power BI dataset from an external organiszation, I can access the dataset and build my own reports through their Power Bi website, but not through my own Power BI desktop. 

I tried to follow this guide: Access shared datasets in Power BI as a guest user from an external organization (preview) - Power BI | Microsoft Learn but dont have the mentioned settings in my "Preview features" 

I am getting following error: 

Error code: "Error message: WAM Error Error Code: 3399614476 Error Message: (pii) Internal Error Code: 557973645"

The External organization sent me this "

So looks like everything is okay from their end.

I use my own organization email to access their Power BI site, which sometimes need to be confirmed on MFA. 

Anyone that help? 
I have updated to the newest may version.