Live connection to Power BI dataset is no longer working after latest update

For some added context the datasets are on a different domains then the main office365 from my company and when I upload the relevant excel-file into a sharepoint location on the same domain I am able to refresh it in the web interface. However, if I download this file locally and open it in desktop it no longer works and I am getting the errors which I have added screenshots to. This is an issue that came with the latest update.. So I guess the question becomes how can I overcome this access issue? because I am unable to find an option in Excel where I can change the connection properties like you can in Power BI.