Gateway with SSAS DirectQuery - This report could not access its data source.

Hi,

When I open a report based on my SSAS tab, I get "This report could not access its data source. please contact <Developer>, the author, to have it fixed"

I have a Windows Server with :
- SQL Server and SSAS Instance
- PowerBI Gateway service running with local admin
- Local user who have access to SQL Database and SSAS (MACHINE NAME \ User Name) with administrator right on windows machine, SQL Server and SSAS - I don't have Active Directory
- Opened port for SSAS

I could connect to SSAS with Excel using the Ip address and local user account.

The PBI gateway status is Ok on this server.

On PowerBi Service :
- I have an Power Bi Pro account with a mail/domain not related to Microsoft or my server (remember => which use local user)
- Gateway is online
- I have add a datasource related to my SSAS tabular on my server with local machine credentials -> connection is ok and automatic refresh is done each hour with success

I can't connect to SSAS with PowerBI Desktop
I can't connect to SSAS with PowerBI Service (create a report using this dataset or refresh an existing report)

When I look into Events Viewer for my SSAS connection, I have :

Account For Which Logon Failed:
Security ID: NULL SID
Account Name:
Account Domain:

It seems that SSAS can't retrieve any user ...

I've found this : Manage your data source - Analysis Services - Power BI | Microsoft Docs but in this case, there is an AD (and me not)

I can't use import because lots of data ... I need direct query.

Thank you for help !