Hi all,
Some general comments after pursuing a case with Microsoft that took about 8 weeks to resolve. Hopefully this is helpful to someone else. Here is what I've learned:
1. Data Privacy in the desktop client can be turned off: "Ignore the Privacy Levels and potentially improve performance" but there is no equivalent setting in the service. It is always turned on. If you want to mimick what the service does, be careful ignoring privacy levels... and then forgetting you've done so later if you run into an error like I did.
2. There are particular combinations of commands that can case your refresh to fail with this error:
We cannot convert the value "[Record]" to type Record.
This is actually a symptom of how the data privacy functionality is implemented. You'll see this error on a refresh request online and you may not see it locally if data privacy is turned off in the desktop client. If you turn it back on, the error will appear in the desktop client as well.
This error is a result of how the data privacy implementation currently works. In my case, I am connecting to a CRM instance via ODATA and also to an XLS on a SharePoint site. CRM is full of unexpanded column data. I want to expand the columns, and then merge with data from the XLS. Since these are from two different data sources, and with data privacy on, Power BI will buffer the data from each source independently. That buffering code cannot handle structured cell values like records or lists. The buffering is done just before the data is combined with a statement like Table.NestedJoin. If you attempt to expand the record in a column after that first NestedJoin, it will fail because the record is replace with the text "[Record]" due to the incomplete implementation, which clearly cannot be expanded.
To fix this error, make sure all ExpandRecordColumn statements appear before your first data combination statement. Hopefully this saves some folks time.
Also, Microsoft is working on this and I've shared the obvious feedback about the error text itself and the incomplete implementation.
Finally, the documentation on data privacy is poor. Apart from the points above, which are not documented to my knowledge, the specifics for how data privacy actually works is a bit of a mystery. Hopefully this page gets more documentation attention in the future.
-Jeff