Share your thoughts on DirectQuery for Power BI datasets and Azure Analysis Services (preview)

Hi,
Thanks for adding this feature. Really useful; however we are having some issues at my company. 

As a tenant admin, connecting to a PBI dataset (switched to DirectQuery) + an Excel file is working fine.
But for my colleague (not an admin, but workspace admin), he is getting an error 

"Your credentials could not be authenticated: "Credentials are missing." altough everything is set up correctly in the source (we tried with several kinds). He also enabled the feature in Power BI desktop. 

I checked all the tenant admin settings (mentionned here) too. 
Do you have any idea on what could cause the problem ? 

Thanks for your help