Anyone connecting PowerBI to a remote instance of SQL Server?

Hello,

I currently connect PowerBI to a load of .csvs exported from the front end of our CRM system, as we do not have access to the back end, which is hosted by the supplier.  I'd really prefer to connect to the data via SQL Server.  Our CRM supplier has offered to give us access via a VPN - the SQL Server database and SSMS will still be hosted on their server.  Does anyone have a set-up like this?  Is it straightforward to connect to PowerBI?  Any pitfalls I should be aware of?  Apologies if this is a silly or basic question - I'm not a database admin or IT specialist (though I am experienced in querying SQL), and we don't have one of those!

Thank you.