Hi
So the resolution for us was that Azure Active Directory (AAD) access was needed.
We enable “Integrated Apps” within AAD and then we were now getting the prompt to allow the app, and got successfully signed in.
Unfortunately now we have another problem with it saying I do not own any dashboards to pin to, even though I do and we do have power bi pro. Working with microsoft now for that issue...
Hope this helps someone else
Regards,
Peter.