Please refer to How to connect Microsoft Advertising.
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If you still experience issues after following these guidelines, we recommend creating a new Microsoft Advertising account specifically for your global Azure Admin. Ensure this account has the necessary permissions to access the data you need in Funnel.
You should now be able to connect successfully.

If you have successfully connected a source but Data Explorer shows no data, it means that your account has the right permissions to connect to Microsoft Advertising but lacks the permissions to access that specific campaign. Choose another pair of credentials and try again.

The Goals, Keyword and Product Dimension report does not support certain campaign types, such as “Shopping”, “Dynamic Search”, or “Audience”, and
Keyword reports do not support ad groups of the type "Dynamic".
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Furthermore, the Goals are only attributed to conversion metrics (as seen in What data can I get from Microsoft Advertising), not to other fields e.g. Spend, Clicks, and Impressions.
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Paused campaigns may not be visible in Funnel if the report type is less than the "Campaign" level.

Performance Max campaign data is only available via the Campaign report.

Currently, Ad title and Ad description are not available from the Microsoft Advertising reporting API for these types of ads.

These dimensions are only available for Audience Campaigns.