UNfortunatley it would seem that is correct and there is no way to be able to do this presently. For our use we are not prepared to make it that easy for external users to download our data. Particuarly as this would enable them to download data for latitude and longitudes from maps. Hopefully Microssoft will change this soon. To assist with this change please vote for this idea - https://ideas.powerbi.com/forums/265200-power-bi-ideas/suggestions/16633324-disable-export-data-function-in-power-bi-embeded