I can see the "see record" and other options in a pop-up when I right click a visual in Power BI Service, however in an emebeded report there's no any pop-up when right clicking.
I didn't notice the pop-up capacity in an embeded report, is it possible that you're getting Power BI Service and embeded reports mixxed up? If you're not, the pop-up may be disabled due to this bug. I‘ve added a comment to that bug.
