As development continues on ADLS gen2, Power BI now has a beta connector available. This can be found in the Azure folder of the Get Data Experience
To connect to your storage account, you will need to provide the DFS url to your account
Depending on whether or not the right permissions exist, you may get some weird errors once you have signed in with your organisational account, for example I saw this error
To rectify this I went to the Access Control tab in the Azure portal for my storage account and selected one of three of the blob roles (Storage Blob Reader, Storage Blob Contributor or Storage Blob Owner) to assign to the account I used to authenticate
Once this has been done (it can take up to 5 minutes for the roles to propagate in larger organisations) you will now be able to see the contents of your storage account and create reports based on data stored in ADLS gen2.
Thanks to Adam Pearce, a super helpful Senior Consultant here at Altius who found the fix for the connection error.