Anaconda in Windows with Power BI
I'll try to find the link, but Power BI doesn't play nice with Anaconda. I installed WinPython (https://winpython.github.io) instead, and have had no problems with Power BI and python since.
As the initial questioner assumed the problem here is the missing activation of the conda environment. This can be done by running the activation script like
Anaconda3\condabin\activate.bat py37
where py37 is a Python 3.7 environment. This adds the following folders to the PATH:
Anaconda3\envs\py37
Anaconda3\envs\py37\Library\mingw-w64\bin
Anaconda3\envs\py37\Library\usr\bin
Anaconda3\envs\py37\Library\bin
Anaconda3\envs\py37\Scripts
Anaconda3\envs\py37\bin
Anaconda3\envs\py37 is the Python home directory that needs to be added to the PBIDesktop global options in the Python scripting section too. Now all that's left is to start PBIDesktop from within the activated environment like:
(py37) C:\> "Program Files\Microsoft Power BI Desktop\bin\PBIDesktop.exe"
If you are not using virtual environments as recommended, at least the base environment needs to be activated.
With the PBIDesktop November 2019 release I see no issues running Python 3.7 from Anaconda.