Note: Azure Analysis Services uses Azure Active Directory (Azure AD) for identity management and user authentication. Any user creating, managing, or connecting to an Azure Analysis Services server must have a valid user identity in an Azure AD tenant in the same subscription.

For more details, refer "Azure Analysis Services Authentication".
Power BI Embedded does support using RLS against AAS using the CUSTOMDATA() function.
For more details, refer similar ask in PowerBI forum: https://community.powerbi.com/t5/Service/Azure-Analysis-Services-RLS-and-Embedding/td-p/239127
Hope this helps.