I have filed a ticket for this in April 2017. The answer then was that the request wasa scheduled for a release within 6 months. Have not heard about the change yet, as far as i know it is still not supported.
Work around is as Andrej suggest within the domain model
I want to expose my accounts and companies to PowerBI with OData, but OData has its limitations.
OData services have a option to publish many to many associtions as links since 7.21. This link looks like this https://app.mendixcloud.com/odata/app/parties(22799473113563137)/Accounts.
This is not a table with a account id and party id. We can use these links in Azure if we write custom logic in Azure, but we don't want that, so we are going to stick to the solution in 8618 going to create a account – party entity.
@Mendix I dont like your solution for idea 564 and would like to expose a many to many association as an association table.
For future reference about this. This behavior is described on this documentation page: OData Representation
Mendix Data Type: Reference set (not supported)
Then you must also show this idear: https://forum.mendix.com/link/ideas/564
So at least it seems it is planned.