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Trying to connect to Azure SQL DB from PowerBI.com
You don't need to run Power BI Desktop in administration mode. It should work totally fine even when you open it in standard user mode. And the issue seems more of like firewall issue as you mentioned.
Please check if the following community forum helps you
https://community.powerbi.com/t5/Power-Query/SQL-Connection-Named-Pipes-Provider-error-40/m-p/194296
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It's nothing to do with the licenses. It's just that dataset is something that you create first, either in Power BI Desktop or in Service, and then set up schedule refresh.
Follow the below instructions to connect to Azure SQL Database
- Open Power BI Desktop
- Click on Get Data
- Select SQL Server Database and follow the below article
Power Query Azure SQL database connector | Microsoft Docs
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