Information is needed in order to combine data. Please specify a privacy level for each data source.

Using Power BI Report Builder with the Power Query Get Data tab to combine data from two OData sources. The combination of data in Power Query (edit mashup) give a warning:

"The evaluation was canceled because combining data from multiple sources may reveal data from one source to another. Click

Continue if the possibility of revealing data is okay."

Clicking continue allows the query preview to validate and complete. However, running the paginated report on Desktop or in the Service returns an error:

"Information is needed in order to combine data. Please specify a privacy level for each data source."

I cleared all permissions related to these two data sources from my Global Permissions and the tenant then set up the shared - cloud connection permissions again. Both data soruces have privacy settings = None, although I could not actually set that up. I am not able to find anything where I can edit the Privacy Level settings like we have in Power BI Desktop. 

Is this a limiations with Power Query in Power BI Report Builder? Or have I missed an obvious step?

Thanks in advance!