Data Set Parameter Not Being Passed to DB Query

Data preview for data sets with parameters has limitations (even when they rely on expressions), but the data sets should work fine once you use them from reports.

I assume you are designing a shared data set. Consider making the @CurrentUser parameter internal if you don't plan to override it from actual reports. Once the data set is saved you can test it by creating a report that uses it. Just build one in Report Builder and hit preview on the report itself.

Let me know if you still have problems with data sets.