For the first image, how did you add the columns? Could you please share detail steps? Also how did you connect to Project Online in Power BI, use Project Online content pack or another way? Please share detail information for our analysis if possible.
First, I select the project name in the online project and I click the project site, then I click on settings and click the site contents. then I choose Issues and after that I click Create Column.
I use Connect to Project Online with Odata. "Feed is https://<tenantname>.sharepoint.com/sites/pwa/_api/Projectdata"
I check my field "Information Report" not yet in power bi, but in the Online Project, the field "Information Report" there.