I awared that I can't create report level measure with Azure AS Live query mode when I enabled "Power BI Service live connect" preview feature.
I and my collegure confirmed if we set off above feature in setting dialog, we can create report level measure on our report.
I cannot repro the same issue on my side. Please refer to my recorded video below. I'm using the latest July 2017 version of Power BI Desktop to connect to Azure AS Tabular in Live connection. Please let me know if there is any difference between our repro steps.
Note: We currently only support report measures a live connection against Analysis Services Tabular models. You won’t be able to create measures when connected to Multidimensional cubes.
Thank you for your time to my case.
Your repro steps are same as I expected.
I would say that last one peace is OS language.
I tried two languages, I can't repro in English environment, and I can repro in Japanese environment.
Today, I got Update of Power BI Desktop and I install it, then my issue was resolved by version 2.48.4792.721