Thanks for your reply.
I have tried using a shared datasource and dataset that I definitely have permission on and I get the error Unhandled exception has occurred during data set 'Test Auth Shared Dataset' processing.
Bear in mind my azure user has been added to the Administrators group and I've double checked I have security on the Dataset and Datasource.
What I have working now is if I make a report that only has an internal
Datasource and Dataset then go to the embedded Azure AD link (https://myreportserver/en-us/reports/embed/reports/MyReportName?hascomments=false&hasviews=false&hassso=true&externallogin=azureAd
) and then auth with azure AD I can auth successfully but get the same error as before "Value cannot be null. Parameter name: source" .
However if I remove the "&externallogin=azureAd" from the url after I've been authenticated I can successfully view the report. This seems like a bug to me. It seems like azure ad isn't working with shared datasources/datasets and also that "&externallogin=azureAd" parameter seems to cause problems once the user has been authenticated. Do you have an environment with azure ad setup to test this scenario to check whether this is some problem with how I've configured everything or just a bug with the report server?
As a side note from the user management page clicking on an Azure AD imported user gives me an error page saying "Internal Server Error", not sure if this is related.