First off, thanks for this post. I was tasked to see if on can connect Neo with PBI. Glad this works!
Adding here my use case in case they trouble you too. I have machines setup by my company with a lot of "normal setup stuff" missing. Good news, that won't matter. BUT, if you're looking for "familiar" locations/directories/etc., as in my case, you won't find them. And don't waste time trying to stick the 'mez' file where you find that So...
Re the directory: just create it (on a windows machine) under the "Documents" folder your machine says is that (on a cloud config, e.g., this can be diff than a local install...doesn't matter. Just use whatever your Documents folder as the "root". From that Documents root, add "Power BI Desktop/Custom Connectors". Seems this is hard-wired into PBI as a search path given all other refs to PBI are in a very distinct local.
In the data setup (in PBI), make sure you check the port against what's in your config. The error messages are not useful from PBI. But, a "http", "localhost" and <your port for http which is in your config file - do NOT use the one for BOLT> and you're in.
Finally, in PBI, you'll see "records" and not your specific data/attributes. That's normal and you'll need to transform those. So click "Transform Data" to get that started. At the top of each column, you'll see a button/icon with arrows pointing in opposite directions. Click, process and "Close & Apply".
So thanks again for getting me started and hope this helps others. Happy hunting!