I'm by no means an Azure expert, I just share something based on my monitoring(via chrome dev tool(F12)) and understanding.
For more accurate explanation on Azure structure, you shall go to Microsoft Azure forum.
For Power BI Embedded, the embeded url is like "https://embedded.powerbi.com"
The embed url host is a cluster url, you will actually be distributed to a closest server instance when trying to access an embedded url.
After that, to retrieve data from your workspace, in Azure, the request would be redirected to a server which would connect to your workspace fast.
So based on my understanding, toughly speaking, as long as your user can connect to "https://embedded.powerbi.com" fast, they won't experience performance slowness, regardless of where your workspace collection is located.