Confusing PowerBI message about unencrypted connection

I have a user connecting PowerBI to a SQL Server which has an SSL cert and is set to force encryption. He entered the server name without the FQDN and it displayed the message shown below. He claimed that he was able to click OK to the question about continuing using an unencrypted connection without problem. I doubted it, but just tested it myself. I get the same prompt but am able to query the SQL server even after clicking OK.

So, either this is a bug and SQL Server is allowing the connection without encryption (doubful, I checked the status of connections to the server and they were all encrypted) or PowerBI somehow negotiates an encrypted connection in some situations despite this message.

 Can someone with a little deeper knowledge of this shed some light on it? I'd like to be sure that all the connections to our SQL Server are encrypted. Thanks.