Get Data from Web API secured by Azure AD - Could not authenticate with the credentials provided

Hi,

I have the following case, and I hope I could get help:

1. I created a .NET core API without authentication.  Published it to an Azure App service.
2. That Azure App service is then secured via Active Directory app registration, I followed the (Alternative method) section from this link: https://docs.microsoft.com/en-us/azure/app-service/configure-authentication-provider-aad
3. Now I am trying to create a Power BI report.   Get Data > Other > Web:
6. When I hit Connect, I get the following error:
8. It is strange that the authentication fails as I use the same credentials when I signed in and got me connected in the first place.  Now when trying to connect to the api to get the data, this happens.  Am I missing something, or not doing it right? I am using the very same credentials in Azure AD.