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Make sure you have "Created the new workspaces in Power BI" as a prerequisites.
I'm able to link a Power BI workspace to a Synapse Analytics workspace, without any issue.
In case, if you have already have workspaces in Power BI. You may try the following steps:
- Clear “Cookies and Cached data” of your browser.
- Private Mode (New InPrivate Window).
- Try in different browser.
Reference: Quickstart: Linking a Power BI workspace to a Synapse Analytics workspace (preview)
Hope this helps. Do let us know if you any further queries.