ok. What I'm trying to do is to filter a report based on the connected user. I'm embedding the report in our own Web App using what's described here https://powerbi.microsoft.com/en-us/documentation/powerbi-developer-integrate-report/. So, at this point I'm not using the new Power BI Embedded simply because it is not supporting yet access to on-premises databases (no support for Enterprise Gateways so far).
Also we're connecting with Power BI using only one Power BI Pro account. Our web app of course has its own users.
The point here is that we cannot use Row Level Security since we're connecting with only one Power BI account. So I was checking this feature and I thought that it could be interesting.