You have read scale out replicas available to your Azure SQL Database subscription? Then, you must consider to connect your Power BI desktop to offload your read operations to this copy.
In general, you connect to these replicas by supplying additional property “ApplicationIntent = ReadOnly” in the connection string but when connecting to Azure SQL Database in Power BI Desktop, you get a separate placeholder for your server and database, not a consolidated connecting string. So, to ensure that you hit the read scale out replica, you have to select the checkbox corresponding to SQL Server Failover support as shown in the snapshot below –
You can get this verified by explicitly writing a query while establishing the connection to the server as shown below –
As soon as you click ok here, next screen will show you the preview of result of this query as –
And you can see that, your connection is READ_ONLY which means you are connected to read replica.