As per my personal experience, things that would affect performance are
- When creating Power BI Embedded, select a location which is more close to your web server.
- Avoid using complicated query in DirectQuery mode. At this moment, DirectQuery are only supported to connect Azure SQL Database/DW. Based on test, the actual query sent from Power BI is not optimized which would stop the index in database used.
By the way, in your case, could you explain how you track the queries running time?