Please go through my previous post that explains how to connect Essbase with Power BI using the Essbase (beta) connector, if you are getting your hands in the first time.
There is a request from the Essbase & Power BI community to provide an official connector for connecting Essbase from Power BI. It started exactly 4 years back and Microsoft was delaying it for long time. Finally on Nov 7, 2018 the request has been taken care and moved from under review to backlog status.
Few days back we got our first beta version of the connector as well, with a warning