Hi there, I don't work with Power BI but I do set up some CA and the only app listed there is the Power BI Service, but instead you have the possibility to use sensitivity labels on your dashboards. See below!
"Sensitivity labels can be applied only on dashboards, reports, datasets, and dataflows."
https://docs.microsoft.com/en-us/power-bi/admin/service-security-apply-data-sensitivity-labels