The dataset creation API is also very limited. You can only to add rows to the dataset created via REST API, no update/delete, no direct query connection set. That is to say, you maintain the dataset totally via REST API. One scenario would be like , read the data from snowflake in C# via the snowflake API, add the rows to the dataset via Power BI REST API. Meanwhile, you can only generate visuals in Power BI Service against the dataset, there's no various operations as in Power BI Desktop, such as data type converison, measure creation, re-model the dataset etc.
And, Power BI Embedded doesn't support any DirectQuery in data source other than Azure SQL DB/Azure SQL DW.
Usually, a promising approach would be like, connect to the snowflake in direct query mode, and then publish the report to Power BI service, set up a gateway and configure data source in Power BI Service. Then embed the reports to your application via Power BI REST API. However, the snowflake is still in preview and it is not supported in gateway data source. To bypass this limitation, you may consider using ODBC to snowflake, and schedule refresh in Power BI Service, which means, DirectQuery is not avaible. To be frank, I don't expect too much on an preview feature.