OLE DB: The connection failed because user credentials are needed and Sign-In UI is not allowed.
I've discovered a way that resolves the issue for me. In the connection string, remove the sobe_wowvirtualserver- portion.
So for example this:
provider=MSOLAP.8;initial catalog=sobe_wowvirtualserver-xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx;data source=pbiazure://api.powerbi.com;mdx compatibility=1;safety options=2;mdx missing member mode=Error;identity provider=https://login.microsoftonline.com/common, https://analysis.windows.net/powerbi/api, xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx;update isolation level=2
Becomes this:
provider=MSOLAP.8;initial catalog=xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx;data source=pbiazure://api.powerbi.com;mdx compatibility=1;safety options=2;mdx missing member mode=Error;identity provider=https://login.microsoftonline.com/common, https://analysis.windows.net/powerbi/api, xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx;update isolation level=2
Once that was gone and the report replublished, I was able to set up a new Gateway connection
For authenticaiton method, choose Basic, but still enter in your Microsoft credentials.
Power BI will now happily refresh the report.