This is a huge need for our clients as well. I saw this limitation in the PBI Preview but assumed something as fundamental as data refresh would be supported after the Preview. Guess it's true what they say about assumptions.
Ideally we would have the ability to manage Power BI Embedded workspaces in the PBI Web App with the same ability to pull in PBIX files, set data refresh schedules on imported datasets, etc. Sure, we can use an API to do some of the same things but why not just re-use that interface for PBI Embedded Collection Workspace Management??
Our reports refresh nightly for our clients - they need to see data change every day and there are lots of clients. It is not practical for us to relegate this to a manual process.
The catch 22 here is that even if I wanted to re-write all of the scheduled data refresh logic myself (which I do not), I have no way to automate this right now because I can't programatically generate a PBIX file from a refreshed dashboard. I can do everything needed after that: Use the API to import the file, use the API to set the connection credentials, get the embed URL, etc. But I cannot get my automated hands on a refreshed PBIX!
I dug pretty deep this weekend into using Direct Query. We use the hell out of calculated columns, measures and other things that simply go away with Direct Query. Would involve a large amount of development spend to make our data warehouse look like how PBI has helped us evolve our visualizations and it becomes a big maintenance point. Our business stakeholders are evolving how we look at the data in a very seamless way right now - this cannot go away and therefore, I feel DirectQuery is simply not an option for us.
Sure would love to hear from MS/a moderator on this particular subject. This is huge for us...don't make me hunt you guys down at the upcoming Data Insights Summit. To be truthful, I probably will anyways. 
UPDATE: Found this on the PBI Ideas list. There are rumors in the comments that this will be released in Q2 2017. It was needed Q4 2016 but beggars can't be choosers.