This message is quite clear and means that the official Power BI API for embedding reports in Power BI does not yet support reports that use the DirectLake connection mode.
While the official Power BI API does not support this feature, it will not be possible to use reports using DirectLake in Power Embedded.
An alternative is to change the connection mode to Import, connected to the Fabric Lakehouse or Datawarehouse.
In the article Direct Lake vs. Import mode in Power BI by Marco Russo and Alberto Ferrari (SQLBI), two of the world's leading Power BI experts, they explain that Direct Lake solves problems for 2-3% of models that were difficult to manage in import mode (those models above 200/400 GB). However, if your model works well in Import mode, there is no reason to use Direct Lake. You can continue to use the Import mode from your lakehouse if you prefer to store data in a lakehouse.
