I found a test report created early in September 2016 based on a SSAS live connection where we can see the correct formatting. By chance, that report failed to update since mid-november due to a measure in our cube that no longer exists. But at least it shows that it was perfectly working.
On the picture below (sorry for the quality), you can see the formatting of the samemeasure before and after the December 2016 update.
I've had to raise a premier support ticket on this to get any response from Microsoft. From the support engineer:
"After our local investigation, we found we can actually reproduce similar symptom in our local house. Basically in the backend Power BI will fire DAX queries against Cube directly (we call it DAXMD). At this moment, DAXMD still does not support formatting, so currency does not delegate over. "
Thanks Braggilicious to post the engineer's feedback. He seems to say that formatting from SSAS (from semantic layer) is not supported, but in the example above it shows that before December 2016 the formatting from a SSAS live connection was perfectly working.
We can't use any DAX fonctions on top of a live connection. This formatting issue is a big concerns and makes the reporting not user-friendly at all.
@v-shex-msft: do you have an ETA on that fix? It seems that many people are now facing the same issue whereas few weeks ago it was working well. Could you please have someone from MS reach out to me directly? I would be glad to quickly show him the issue.