Now that Microsoft are enforcing TLS1.2 for Dynamics 365 V9, a bunch of older tools will no longer be able to connect to CRM. This currently also includes the Report Authoring Extension for SQL Server Data Tools that allows creating FetchXml reports, as there has been no new version released for V9 yet.
Currently using the latest version of the Report Authoring Extension, while you can set up your Data Source and Datasets as normal, when you go to preview the report it will ask for credentials, and then get stuck when you go to select which CRM Organisation to connect to.
A way to work around this is by using Fiddler, as it can operate as a proxy between the report and Dynamics 365.
To do this in Fiddler go to Tools => Options => HTTPS and add tls1.2 to the list of allowed HTTPS protocols. To edit the HTTPS protocols, you need to click on the list of protocols as highlighted below.
After that while the Capture Traffic settings is set to On (File => Capture Traffic), you will be able to Preview the report successfully.