Indeed, the issue was in the measure itself. The data model was imported from Power Pivot and all the measures are working fine, but by looking into it I realised this calculate measure with multiple filters doesn't work. So the issue is not related the Excel connexion.
This is a big problem in Excel when connecting to SSAS Tab model that measures are not available in Excel. The workaround is to create calcuated measures then they are available in Power BI and Excel. However, the aggregation is fixed when you create the measure (like SUM, AVG) and you cannot change it in Excel or Power BI. It seems like there is no update from MS on this issue.