DirectQuery for Power BI datasets and Azure Analysis Services - unable to connect other source

Oh, you said Analysis Services, your screenshot shows Power BI Dataset.

I also see the link when connected to a dataset too though:

There's also this button the ribbon:

You've restarted Power BI Desktop after enabling the preview feature?

That's the version number I have installed: Version: 2.88.802.0 64-bit (December 2020)

I always use the single installer version: https://aka.ms/pbiSingleInstaller 

Not sure what else could be at play 😞

https://docs.microsoft.com/en-us/power-bi/connect-data/desktop-directquery-datasets-azure-analysis-services