XMLA will not connect - 'ClaimsToken' is not supported for native connections

[BernieP]

I'm pretty new to Power BI, this is my first post, not completely sure I'm in the right place.  I'm trying to connect with the xmla endpoint using SQL Server Management Studio version 19.3. 
I've tried two different connect strings one from model file's "settings" then "Semantic Models" menu: 
Which looks like this: 
Data Source=powerbi://api.powerbi.com/v1.0/myorg/PRD_CDC_2;Initial Catalog=MDM-Hello-World-D1;

And from Workspace Settings Premium menu which looks like this: 
powerbi://api.powerbi.com/v1.0/myorg/PRD_CDC_2 

No matter what I do I am getting: 

Cannot connect to Data Source=powerbi://api.powerbi.com/v1.0/myorg/PRD_CDC_2;Initial Catalog=MDM-Hello-World-D1;.

ADDITIONAL INFORMATION:

The integrated security 'ClaimsToken' is not supported for native connections. (Microsoft.AnalysisServices.AdomdClient)

 I noticed that even after I change my real email to the dummy email first.last@mydomain.com I get the same error so it doesn't seem like the authentication is making it off of my PC.  

when I try using: powerbi://api.powerbi.com/v1.0/myorg/PRD_CDC_2 
and putting the "Connect to Database" as my semantic model name: MDM-Hello-World-D1

I then get a different error... 

TITLE: Connect to Server
Cannot connect to powerbi://api.powerbi.com/v1.0/myorg/PRD_CDC_2.

A connection cannot be made. Ensure that the server is running. (Microsoft.AnalysisServices.AdomdClient)

Invalid URI: The hostname could not be parsed. (Microsoft.AnalysisServices.AdomdClient)

I am an admin on the workspace, and I own the semantic model have also made sure to enable the 

Allow XMLA endpoints and Analyze in Excel with on-premises semantic models Enabled for the entire organization
in the Admin Portal, Tenant settings.  
It is a Premium Per User Workspace, and I have a Premium Per User License.  
What am I missing?  
I just now noticed that the setting in Tenant settings says 
"Allow XMLA endpoints and Analyze in Excel with on-premises semantic models" 
Maybe there is another setting somewhere?  
The system says it removed HTML, I'm not seeing what changed.  

[lbendlin]

Lose the DataSource and InitialCatalog parts.

Server name:  powerbi://api.powerbi.com/v1.0/myorg/PRD_CDC_2

Authentication: Microsoft Entra ID  (specify your email but not the password, then authenticate via the OAUTH dialog.

If you want you can go to the Options and specify MDM-Hello-World-D1 as the database.

[BernieP]

Thanks for the reply!  
I think I have done that. Except I see in the drop down for authentication: "Microsoft Entra Password" or "Microsoft Entra MFA", I use the first and press connect, but I'm not being prompted for authetication via OAUTH dialog. Instead, I get: 

TITLE: Connect to Server
------------------------------

Cannot connect to powerbi://api.powerbi.com/v1.0/myorg/PRD_CDC_2.

------------------------------
ADDITIONAL INFORMATION:

A connection cannot be made. Ensure that the server is running. (Microsoft.AnalysisServices.AdomdClient)

------------------------------

Invalid URI: The hostname could not be parsed. (Microsoft.AnalysisServices.AdomdClient)

------------------------------
BUTTONS:

OK
------------------------------

If it helps the details look like this: 

===================================

Cannot connect to powerbi://api.powerbi.com/v1.0/myorg/PRD_CDC_2.

===================================

A connection cannot be made. Ensure that the server is running. (Microsoft.AnalysisServices.AdomdClient)

------------------------------
Program Location:

at Microsoft.AnalysisServices.AdomdClient.XmlaClient.Connect(ConnectionInfo connectionInfo, Boolean beginSession)
at Microsoft.AnalysisServices.AdomdClient.AdomdConnection.XmlaClientProvider.Connect()
at Microsoft.AnalysisServices.AdomdClient.AdomdConnection.XmlaClientProvider.Microsoft.AnalysisServices.AdomdClient.AdomdConnection.IXmlaClientProviderEx.ConnectXmla()
at Microsoft.AnalysisServices.AdomdClient.AdomdConnection.ConnectToXMLA(Boolean createSession, Boolean isHTTP)
at Microsoft.AnalysisServices.AdomdClient.AdomdConnection.Open()
at Microsoft.SqlServer.Management.SqlStudio.Explorer.ObjectExplorerService.ValidateConnection(UIConnectionInfo ci, IServerType server)
at Microsoft.SqlServer.Management.UI.ConnectionDlg.Connector.ConnectionThreadUser()

===================================

Invalid URI: The hostname could not be parsed. (Microsoft.AnalysisServices.AdomdClient)

------------------------------
Program Location:

at Microsoft.AnalysisServices.AdomdClient.Utilities.AsyncHelper.WaitForTaskCompletionImpl(Task task, Int32 timeout, CancellationToken cancelToken)
at Microsoft.AnalysisServices.AdomdClient.Utilities.AsyncHelper.WaitForTaskCompletionAndGetResult[TResult](Task`1 task)
at Microsoft.AnalysisServices.AdomdClient.Authentication.MsalAuthenticationHandle.IntegratedWindowsAuthenticationHandle.AcquireTokenImpl(IPublicClientApplication app, IEnumerable`1 scopes, String userId, IAccount account, Boolean isInteractiveLoginAllowed)
at Microsoft.AnalysisServices.AdomdClient.Authentication.MsalAuthenticationHandle.IntegratedWindowsAuthenticationHandle.AcquireToken(IPublicClientApplication app, IEnumerable`1 scopes, String userId)
at Microsoft.AnalysisServices.AdomdClient.Authentication.MsalAuthenticationHandle.MsalAuthenticationService.AuthenticateUser(AuthenticationOptions options, AuthenticationInformation authInfo, String userId)
at Microsoft.AnalysisServices.AdomdClient.Authentication.AuthenticationManager.Authenticate(AuthenticationOptions options, String identityProvider, String resource, String tenantId, String userId, String password, String workspaceName, String databaseName, Boolean isForAsAzureRedirection, AuthenticationInformation& authInfo)
at Microsoft.AnalysisServices.AdomdClient.ConnectionInfo.AcquireToken(IConnectivityOwner owner, String resource, String tenantId, Boolean isForAsAzureRedirection)
at Microsoft.AnalysisServices.AdomdClient.ConnectionInfo.ResolveHTTPConnectionPropertiesForPaaSInfrastructure(IConnectivityOwner owner, Uri& dataSourceUri, Boolean acquireAADToken, Boolean returnCloudConnectionAuthenticationProperties, Boolean isRedirectedWorkspace, String tenantId, String& paasCoreServerName, CloudConnectionAuthenticationProperties& cloudConnectionAuthenticationProperties)
at Microsoft.AnalysisServices.AdomdClient.ConnectionInfo.AcquireAADTokenAndResolveHTTPConnectionPropertiesForPaaSInfrastructure(IConnectivityOwner owner, Uri& dataSourceUri)
at Microsoft.AnalysisServices.AdomdClient.HttpStream.Create(IConnectivityOwner owner, ConnectionInfo info, XmlaDataType desiredRequestType, XmlaDataType desiredResponseType, Int32 readTimeout, Boolean& isSessionTokenNeeded)
at Microsoft.AnalysisServices.AdomdClient.XmlaClient.OpenHttpConnection(ConnectionInfo connectionInfo, Boolean& isSessionTokenNeeded)