Formula.Firewall: Query references other queries, so it may not directly access a data source.

In case it helps others I ran into this issue after adding a non-supported/unofficial custom connector into PBI desktop and then trying to run queries against SharePoint files. 

Removing the custom connector from the local Documents > Power BI Destop > Custom Connectors folder got rid of the issue for me. (Note I didn't have any quries using the custom connector, just the fact it was there seemed to trigger the firewall thing).