The Analyze in Excel feature is not working on some cases. The MSOLAP.8 connections do not work on Excel version 1711. This happened on version 1709, was corrected on version 1710 but has reappeared.
MSOLAP.7 connections don't have this issue, but the available OLE DB connector on the Power BI download section does not install this version of the connector.
The error that appears when trying to connect to the data is the following:
It seems good in the version 1712 that I have now. Please upgrade to version 1712 and try it again.