In my experience you need to recreate the associations yourself in PowerBI. The content of an association attribute is the identifier of the other entity.
Say you have users who are assigned to a project, the association is User_Project and this association is stored at in the User entity. The User_Project contains an identifier which matches the ID field of Project. You need to tell PowerBI that this is the relationship between these fields.
Are the entities available in PowerBI? Sometime you need to connect those entities by hand because PowerBI did not autodetect them. But once you connect those entities by hand it all works.
Regards,
Ronald
If you have Entity A and Entity B associated
When exposing associations only from Entity A will not expose Entity B and its attributes.
Hope this helps.