Good morning,
With the latest version I tried to use the “direct connector to PBI”.
It indeed download me a file (.pbids), but when I try to open it up:
The content is this one:
Anyone of you have an idea about the problem ?
Dremio is on the latest version.
PowerBI Report Server is on version May 2020
PowerBI Desktop for Report Server is on version May 2020 as well
Thank you 
Did you install the Dremio Connector on your client including the Power BI extension (as part of the Dremio Connector installer)? Also, can you please check that in the Power BI Desktop settings you enable third-party connectors: File -> Options and settings -> Options -> Security -> Data Extensions -> Allow any extension to load without validation or warning
Note that Microsoft is updating its built-in Dremio connector so that will not be needed in one of the upcoming Power BI releases.