If you aren't seeing the CData connector in the list of available connections in the “Get Data” window, it means that the installer was unable to copy the necessary file to the custom connectors folder. Typically, this file location will be:
C:\Users\<user>\Documents\Power BI Desktop\Custom Connectors\
However, if your machine uses OneDrive or something similar the file location will need to include your OneDrive folder as well, as shown below:
C:\Users\<user>\<User's OneDrive>\Documents\Power BI Desktop\Custom Connectors\
Note: If this folder structure doesn't exist already, you'll need to create it yourself. Keep in mind that this path is case-sensitive.
Once the proper file path is confirmed or has been created as referenced, you will need to navigate to the connector’s installation location, the default being:
C:\Program Files\CData\CData Power BI Connector for <Data Source>
In this folder, there will be a file called CData.<DataSource>.pqx - please copy this file and paste it into the Custom Connectors folder.
Once you have done this, restart Power BI and then you should be able to see the connector in the list of available data sources via the Get Data window.