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The Power BI embed the experience in Business Central was built before Power BI introduced the concept of Shared Workspaces.

Does Microsoft plan to implement the Shared Workspaces work properly in Business Central?
STATUS DETAILS
Completed
Ideas Administrator

Thank you for this suggestion! 
We are delivering this feature with the 2021 release wave 2 of Business Central (October 2021).

Best regards, 
Blazej Kotelko
Business Central Team