How can you connect to Azure SQL Database from the Power BI service in a secure fashion? The easiest way to limit access to the database is to select the “allow access to Azure Services” option. This can be found in the database server options in the Azure portal.
This allows Power BI to access your database. However, it also makes the database visible to any component deployed within Azure, such as a virtual machine. For many organizations, this is not sufficient for their security and compliance requirements.
We have tested this solution but it's only applied to VM's which have installed PowerBI in Azure and this escenario runs right. Unless, we're testing another solution and with more control, is accessing from on-premise network to consume Azure SQL PaaS through ExpressRoute connection. We have thought an intermediate infrastructure (like proxysocks) to redirect the traffic and centralized the configuration between private IP vnets to public gateway of Azure SQL PaaS, but there is a problem with the configuration in the endpoint clients because it should be applied for each application. Have you have tested one solution to consume Azure SQL through ExpressRoute?