Hi admiralman,

Based on my test, we have to list all available folders, then select those we need from the list. As mentioned in above link:

Now that we’re in, we’ll be able to see all of the files from all of the folders that we have access to in that specific site. This might be a pretty long list, so let’s do some filtering on the “Folder Path” column and select the folder where your data is being stored so you only get the files from it.

If we direct to a specific folder in URL (https://microsoft.sharepoint.com/xxxx/xxxx/Shared%20Documents/Power%20BI), it will fail to connect and prompt below error.

Regards,
Yuliana Gu