Unable to Create Cloud connection to SQL MI Databases

Hi AntoF9 ,

Thanks for your question in the Microsoft Fabric Community.

You can connect a SQL Managed Instance to the Power BI Service by using an On-premises Data Gateway or a VNet Data Gateway. This approach keeps the Managed Instance private within the virtual network while allowing secure access from the Power BI Service.

More information on configuring gateways in Power BI is here: 
Solved: Re: Unable to connect to Azure SQL managed Instanc... - Microsoft Fabric Community

Another option is to enable the public endpoint on the Managed Instance. If you choose this method, you can restrict access so that only Power BI can connect by using Azure Service Tags. Guidance on configuring and using these tags is available here:
Use service tags with Power BI - Microsoft Fabric | Microsoft Learn

Details on how to configure the public endpoint for a Managed Instance can be found here: Configure public endpoint - Azure SQL Managed Instance | Microsoft Learn

You might also find this useful:

Integrate Microsoft cloud services with your Azure SQL Database managed instance | Microsoft Community Hub

Hope this helps. Please reach out for further assistance.

Thank you.