Hi
I have tested this scenario as yours, and provide details about this issue in the similar thread that Eno1978 posts.
It requires an Enterprise or Business Intelligence edition of SQL Server Analysis Services when you connect to SSAS 2012 CU4 (or SSAS 2014) Multidimensional instance (MD) instance from Power BI Desktop using live connection option. If you connect to Standard edition of SSAS 2014 MD instance or SSAS 2012 MD instance via “Connect live” option in Desktop, the issue you describe will occur. In this case, please use Enterprise or BI edition of SSAS instead if you use SQL Server 2014 or SQL Server 2012 and want to use “Connect live” option.
By the way, you should be able to connect to SSAS 2016 Standard MD instance from Desktop using “Connect live” option.
Thanks,
Lydia Zhang