Update: Microsoft team sent me an update email as below.
"We have received an update from our Product Group.
Which you are trying to connect with MFA for DirectQurryMode 'ON' for DefaultPowerBIDataSourceVersion PowerBI_v1 it's not supported by design.
If you like to connect MFA for DirectQurryMode 'ON' needs to upgrade to DefaultPowerBIDataSourceVersion PowerBI_v3."
Hope it helps.