This issue applies to Dynamics NAV 2013 (and higher) data sources
When attempting to perform a drilldown, a message is displayed stating "Please specify a drilldown server in the data source settings"
This is an error returned by Dynamics NAV when it is unable to locate the NAV RoleTailored Client (RTC).
When using the RTC for drilldown, you must specify provide the name of both the RTC Server and the RTC instance in your Data Source Settings.
You may need to contact your system administration to get this information.