Proxy Authentication Required error with Power BI Desktop for Report Server

Hi,

We are facing a strange proxy error message with Power BI Desktop for Report Server with all our users when they click on Connect. It is the one mentionned in this documentation. We followed the recommended steps for proxy configuration, but to no avail.

We have also downloaded Power BI Desktop for the Cloud on the same PC and clicking on connect does not trigger any error.

I have been searching for some specific proxy configuration for PBI Desktop Report Server, but could not find any. Is there any? 

We are totally puzzled... Anyone knows what is happening?

We ran a trace and it gives the following:

 DataMashup.Trace Error: 24579 : {"Start":"2019-07-26T09:40:43.5930029Z",

"Action":"PBI.TraceMessage","sessionId":"758e5397-f51e-40ad-8d6c-f42df2ae3220",

"deviceId":"d52b56bb","userId":"b178ce07-a885-4c69-a41a-17b71d2285a9",

"isInternal":"False",

"authenticatedUserId":"Unknown",

"Message":"AuthenticationManager.ProcessAndTraceException: Exception = {\"ClassName\":\"System.Net.Http.HttpRequestException\",

\"Message\":\"Une erreur s'est produite lors de l'envoi de la demande.\",

\"Data\":null,\"InnerException\":{\"ClassName\":\"System.Net.WebException\",\"Message\":\"Le serveur distant a retourn\u00E9 une erreur\u00A0: (407) Authentification proxy requise.\",

\"Data\":null,\"InnerException\":null,\"HelpURL\":null,\"StackTraceString\":\" \u00E0 System.Net.HttpWebRequest.EndGetResponse(IAsyncResult asyncResult)\\r\\n \u00E0 System.Net.Http.HttpClientHandler.GetResponseCallback(IAsyncResult ar)\",\"RemoteStackTraceString\":null,\...

Thanks, 

Jérôme Verstrynge