Starting with the release of Strategy ONE (March 2024), dossiers are also known as dashboards.
Users who get the "Server - Reporter - Execute Report that uses multiple data sources" privilege inherited from a Security Role do not get that privilege applied when they import data from a Data Source that does not come from the Primary Database Instance of the project or by the Data Source set as default on the project and that data is accessed in Connect Live mode.
The user gets the following error message when trying to make use of that "Server - Reporter - Run Report using multiple data sources" privilege:
“... (SQLEngine got an Exception from DFC: [DFCENGINE] Engine Logic: Insufficient privileges: can not execute a report that uses multiple data sources)”. For example:

This issue has been fixed in Strategy 2021 Update 9. Please consider upgrading to this Strategy version to benefit from the fix.