Connect PowerBI to Dynamics 365 On-Prem: OData: The feed's metadata document appears to be invalid.

This does not happen a lot, but in case you need it.

To connect PowerBI to Dynamics 365 Online is straightforward, but it can be complicated when it comes to Dynamics 365 On-premise. MS has it fully documented here:

https://docs.microsoft.com/en-us/previous-versions/dynamicscrm-2016/administering-dynamics-365/dn708055(v=crm.8)

I followed the instructions to run the PowerShell scripts, and eventually it appears to be working, but it ended up with another error:
Unable to connect: OData: The feed's metadata document appears to be invalid.
Error: The metat document could not be read from the message content.
UnexpectedXmlAttribute: The attribute 'ConcurrencyMode' was not expected in the given context

When it happens, just ignore the message, and close it. create a Blank Query instead, 

and set the Query's source to the followings: 

https://yourcrm/api/data/v8.2/entityset

this will do it. You can close and apply the query to your PowerBI project.