Today, I worked on a service request that our customer received an error message connecting from PowerBI to Azure SQL Database using custom domain name, for example, myserver.mydomain.net instead of using myserver.database.windows.net.
When the Azure SQL Server receives the incoming request, the traffic will be encrypted using a SSL certificate based on the domain *.database.windows.net if our customer is using other, for example, myserver.mydomain.net you are going to receive the following error message: The server name provided doesn't match the server name on the SQL Server SSL certificate.
Our first suggestion is to use servername.database.windows.net in order to encrypt the traffic and validating the server certificate.
Other options are:
You could continue working even after the message, basically you could press OK and continue using PowerBI..
If your DNS didn't allow or you cannot add an entry in your DNS, you could add in the host windows file the entry of your server.