That depends on what you mean by embed. If you are referring to using a control to embed PowerBI, then I don't think there is a control out of the box that can achieve that. If you have a URL that can open up a readable version of your report, you can try using the Content control to "embed" the report in your form.
I have seen something similar to this in the past when K2 was configured for Http but the url was Https. Have you tested the content control with a generic site (i.e https://www.k2.com)?
I tested this out early today and got similar behavior that you mentioned. For it to work, the report must be published with web feature in Power BI. See video link: http://www.screencast.com/t/59mBdGjPXdNY