Here's the workaround for the grey screen in Power BI Desktop during authentication: Re: Unable to connect Adobe Analytics to Power BI ... - Microsoft Power BI Community

In Power BI Desktop, go to File > Options and Settings > Options > under Global > Data Load, click Clear Cache.  These lists are cached on first connect.

The connector doesn't support this.  You can vote for the idea here: Add Classification Levels to Adobe Analytics Connector – Microsoft Power BI

I added this idea in January.  Please upvote Add Classification Levels to Adobe Analytics Connector – Microsoft Power BI