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I am trying to a build a flow directly on Power BI using the Power Automate visual, but when I try to sign in, I get the following error:
Failed to create connection for connection id '/providers/Microsoft.PowerApps/apis/shared_powerbi/connections/shared-powerbi-fc6ede94-2353-4440-9237-17c9b3baf47e'. Connection creation/edit of 'shared_powerbi' has been blocked by Data Loss Prevention (DLP) policy 'CSEO UltraLow (All New Environments)'.
That is something the Purview (or equivalent) team set up in your company. Talk to them.