Hi @petehamilton ,
Firstly, pay attention to the following prerequisites before connecting Power BI to Microsoft 365 Admin Centre:
Then I made the following attempts and successfully connected to the data:
If there are still problems with the connection, you can refer to the following related documents:
Connect to Office365Mon with Power BI - Power BI | Microsoft Docs
Install and distribute template apps in your organization - Power BI | Microsoft Docs
Let me know the result immediately, looking forward to your reply.
If this post helps, then please consider Accept it as the solution to help the other members find it more quickly.