How to use Azure Active Directory Authentication with Power BI

Hello,

I'm using an Azure SQL DB with Azure AD. I can connect to this using SSMS and SSDT but when I try to connect with Power BI Desktop it won't authenticate the Azure Active Directory account. If I use an SQL login with Power BI it works fine.  Any thoughts on what I need to do to get this up and running?

Also... when I publish to the Power BI Web application if I go to the connection settings in the web app for the Azure SQL DB it shows its connected with a windows account by default although its published with the SQL account, of course when you try to set the windows account it fails so it is set with the SQL user but does not display this correctly when you go to check / change the setting.

Any pointers would be welcome.

Many thanks

M.