@Simon Tuson - I'm glad that you were able to resolve your issue and thank you for posting your solution so that others experiencing the same thing can easily reference this! Since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others ", I'll repost your solution in case you'd like to accept the answer .
Ask: Connection test fails when using Microsoft Purview to scan my Microsoft Fabric environment
Solution: The issue has been resolved.
The issue was I had not enabled the setting for enhancing dax and mashup expressions in api response, this needs to be enabled.
This documented here Connect to and manage a Power BI tenant same tenant | Microsoft Learn but I missed it as it was merged with another setting. :-(
Double check that the security group has members to..
If I missed anything please let me know and I'd be happy to add it to my answer, or feel free to comment below with any additional information.
If you have any other questions, please let me know. Thank you again for your time and patience throughout this issue.
Please don’t forget to Accept Answer
and Yes
for "was this answer helpful" wherever the information provided helps you, this can be beneficial to other community members.