All,
I have set up a SQL Server database in Azure and added an Azure AD group with a few members.
When I connect with SSMS using my Azure AD account, this works fine. But when i use the same credentials under User Alternate Credentials in Power BI desktop, it fails to connect: Could not authenticate with the credentials provided. Please try again.
I log on using <name>@<tenant>.com with the correct password and the server and database selected in the drop-down box.