See Records Option not available when using SSAS as connection

Another option is to use "Import Data" but I know it is not practical specially when you have large dataset, so Live connection is the best option.

or you can write a mdx query and use import data, that way you could have smaller data to import in powerbi (i dont prefer this thou) but throwing the option there.

Also with live connection, you can drop a table on the report with required fields in it, once you click on the graph, it will cross filter, do you think that will not work? 

That is what I can think of, not sure if there is any other option.

Thanks,

Parv