Creating embed token with effective identity is not supported for this datasource

I want to add row level security (RLS) to power BI embed (app owns data). Using the sample application (https://github.com/microsoft/PowerBI-Developer-Samples/tree/master/App%20Owns%20Data)

I get the following error: Creating embed token with effective identity is not supported for this datasource

I'm trying to connect to a power BI report with an sql azure dataset.

This is the code that sends the rls request.

// This is how you create embed token with effective identities
                    if (!string.IsNullOrWhiteSpace(username))
                    {
                        var rls = new EffectiveIdentity(username, new List<string> { report.DatasetId });
                        if (!string.IsNullOrWhiteSpace(roles))
                        {
                            var rolesList = new List<string>();
                            rolesList.AddRange(roles.Split(','));
                            rls.Roles = rolesList;
                        }
                        // Generate Embed Token with effective identities.
                        generateTokenRequestParameters = new GenerateTokenRequest(accessLevel: "view", identities: new List<EffectiveIdentity> { rls });
                    }

I don't see anything that has that error.  Thanks in advance.  I tried azure sql datasource, regular sql datasource, and live vs embed datasets.