I have the following graph, and I want to rotate the X-axis labels in 40°, how can I do that?
PowerBI does not let you override the label orientation but rather adjusts it based on the space you allocate to the visual. Try making your visual a bit wider. For long labels, increase the maximum size of the X Axis on the settings to give more space to the labels and less to the bars. You can also tweak the padding and width settings to eek out a little more space. Also, consider abbreviating long labels.
I went through the same issue/requirement but found no available configuration option for X axis labels. Labels are adjusted automatically based on number of BAR and width of the chart. Anyway, you can look on different options under "X-Axis" after changing the Type to "Categorical" as shown below-