When first connecting to a report in PowerBI you may be prompted to set the Privacy Level of the connection:

Generally, the recommendation is to select Organizational as the privacy level for the report.

From Microsoft's Documentation for PowerBI & Privacy Levels:

Setting	Description	Example data sources
Private	Data sources set to Private contain sensitive or confidential information. Visibility can be restricted to authorized users. Data from a private data source won't fold in to other data sources, including other private data sources.	Facebook data, a text file containing stock awards, or a workbook containing employee review information.
Organizational	Data sources set to Organizational can fold in to private and other organizational data sources. They can't fold in to public data sources. Visibility is set to a trusted group.	A Microsoft Word document on an intranet SharePoint site with permissions enabled for a trusted group.
Public	Files, internet data sources, and workbook data can be set to Public. Data can fold in to other data sources. Visibility is available to everyone.	Free data from the Azure Marketplace, data from a Wikipedia page, or a local file containing data copied from a public web page.