Service principal mode throws the same error. I have verified Service principal works correctly when opening connection to Power BI report with SSAS on premise (I just had to add Service principal id to the on prem gateway).
How did you configure the service principal? AFAIK, you need to create a security group on the azure site to add the service principal as a group member. Then you need to add that group to power bi workspace that stores embedded content. For gateway data source settings, you can configure it to work for workspace members. Regards, Xiaoxin Sheng
Community Support Team _ Xiaoxin If this post helps, please consider accept as solution to help other members find it more quickly.