Hi Andres,
I just encountered this issue, our Enterprise deployment is behind a firewall, not accessible to the internet - I assume this is similar to yours, and I think the message may have got lost here 🙂
I was able to get PowerBI to access our portal, but had to change the CORS settings in portal.
Log in to your portal.
Go to Organisation, Settings, Security - and remove all items under 'Allow Origins'. (having no values means it's open slather).
Source: https://doc.arcgis.com/en/power-bi/get-started/enable-cors.htm
"Note:
The Allow origins settings allow access for Power BI Server (online) only. Because the custom protocols in Power BI Desktop do not conform to those defined by ArcGIS Enterprise, if the Allow origins setting is configured in ArcGIS Enterprise, Power BI Desktop will fail to connect. The protocol (http or https) must be included with the domain name, such as https://webapp.domain.com."
HOWEVER, after doing this, I'm still unable to login to Enterprise 10.8.1 through PowerBI - it says that my user needs an add-on to access PowerBI. So I think there might be a difference between the AGOL Essential Apps Bundle and the Enterprise version.
ArcGIS Online User Types 'Essential Apps Bundle'
Enterprise User Types 'Essential Apps Bundle'
In my searching I did see mention of getting PowerBI added to the Enterprise licence but can't find it again now - but I'm going to contact our reseller to see if this is possible.
Because of the licensing changes for ArcGIS for PowerBI, I've found a lot of the info to be misleading 🙂
