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We had some questions about connecting PowerBI directly to the Data Lake. Here are a couple of solutions that are supported.
1) Using Polybase external tables. This is included in Azure SQL Data Warehouse as well as on-prem via SQL Server 2016 or later Enterprise edition. Azure SQL Server Data Warehouse is currently the only Azure of the SQL Server solutions that I'm aware of.
I tested the Azure to data lake and it worked (without complications). Size of return set will be a concern though.
2) Spark on Azure HDInsights.. I would assume this is the more responsive of the 2 solutions. Assuming you're doing a lot of querying directly against the data lake.