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Power BI Report Server and Query Authentication

Emanuele Meazzo shows us the power of configuration:

With the end of the IE support for Power Bi (and in general tbh), companies are scrambling finally to move their users from the legacy browser to modern ones; it was about time if you ask me.
However, there’s an edge case where using anything but IE is not as straightforward as it could be; in my case Power Bi RS worked fine for any report in any browser, except with direct query reports that were set up to authenticate via Windows Authentication as the user viewing the report:

Read on to see how to fix this so that it works well in browsers like Edge and Chrome.