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I am able to refresh the SQL datasource in Power BI desktop. I have an Enterprise Gateway configured and even there the SQL datasource is configured and connection is successfull. But when I refresh Power BI in PBI online, I get the error "Invalid connection credentails".
The report published has only one dataset configured within it. I am able to connect to the SQL datasource using SSMS.
@GilbertQ, I have only one Gateway configured. I'm not sure what you mean by Single Sing On, but I connect SQL server using an Active Directoy credential.