I know its a bit strange that we would want to configure the Power BI SSAS connector to point to an HTTP msmdpump, but it allows us to do something we can't do when going directly to the server. How...
Well msmdpump.dll is not supported but it appears Power BI has added the capability to map usernames. If you go to the Data Source Settings and toggle to the Users tab, there is a button called Map User Names which lets you alter the EffectiveUsername string via custom mappings. Thank you MSFT for adding this feature!!
