If I understand correctly, you're connecting to Azure Analysis Services (the one where you connect to asazure://). I wasn't able to reproduce this issue so I would suggest a few things.
Make sure you have the latest Power BI Desktop installed.
In Power BI Desktop, make sure you are using the correct authentication type (Organizational account). Go to File... Options... Data source settings... Global permissions. Then see if you spot your asazure:// data source listed. If so, left click it then click the Clear Permissions button. That will cause Power BI Desktop to prompt you for credentials next time. This way you can ensure you choose the proper authentication. If your asazure:// data source isn't there, move on to the next step.
Click Get Data and choose Analysis Services. Paste in your asazure:// into the Server textbox and check Import and click OK. On the next screen choose the Organizational Account tab on the left. Then click Sign in and choose an Azure Active Directory account (Organizational account) which has permissions to your model. Then click Connect.
Hope it helps!
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