Of course,
When I calmly read the message "The user or administrator has not consented to use the application" I started to ask myself "where could I consent the permissions", the quick response came "Azure AD".
I started to search how the Azure AD permissions system works and I found this link:
Https://docs.microsoft.com/en-us/azure/active-directory/develop/active-directory-integrating-applications
After reading it I conclude: I created the application through PowerBI (http://dev.powerbi.com/apps) which generated an application in Azure AD (http://portal.azure.com), so I still had to delegate the application permissions - my user was also the account administrator so I just needed to grant the permissions.
Steps:
Create app on PowerBI > Go to Azure Portal > Find Azure Active Directory > Find the Application > Grant Permissions
Any questions are welcome.