Testing custom connector in Power BI Service

Following is what I see in PowerBI Service.

I have read through more docs and found possibly our Custom connector builds data on the fly by following the below approach and the base paths can't be accessed by directly without authentication headers and tokens. We are already using relative paths, headers and query parameters.
1. validates user by calling our Authentication Public API

2. token is passed to Azure function that returns storage account paths and SAS token allowed to access for the customer
3. Downloading file from storage account and building appropriate navigation table

https://medium.datadriveninvestor.com/setting-a-scheduled-refresh-on-a-dynamic-data-source-in-power-bi-409ccec7337b
I don't see any warning message in Power BI desktop indicating it can't be refreshed.

Any thoughts on how to do we resolve this issue.