Hi Laurens,
Setting up custom OAuth authentication with Power BI can be pretty tedious because Azure is quite complex and requires some choices to make that are specific to your organization and its Azure setup. The process can be especially tedious if you are stuck at the very beginning of it.
First, of all you need to register an AD application, as explained here:
And here:
There you can get Client ID and Client secret.
Once you get to this point, let me know and I or someone else from our team will post further instructions.
Alternatively, write what API functions you need and we’ll see if we can quickly add them to the “Power BI command” action.