To add "Services" to Power BI, specifically Office 365 Monitor you need to login to your Power BI. Once you are logged in you need to add a new service from the Content Pack library.
You would now be at the selection window for adding Content Packs. Scroll down or search to find the Office365Mon.
It will then prompt you to login. You need to use an account that has the rights to Reporting within Office 365. Second to that, you also need to register for the Office 365 Monitoring Service via: https://www.office365mon.com/Signup/Status.
Initially I was unaware of this step. That being said, I was receiving the following error:
Registering at the above link for Office 365 Monitor was is what allowed the OAuth to work and authentication to complete.
Once connected, data will start rolling in.