I love PowerBI - it is a great tool and a great platform. I have been using it with PowerBI embedded now for about 2 years. I have been very patient waiting for some type of workable method of connecting to MongoDB directly as synchronization of data from Mongo->SQL (or some other datasource that PowerBI supports) is painful. I have tried every single option out there and they have all failed miserably.
ODBC is painfully slow and cannot be used with PowerBI embedded without gateway.
R Script also seems to have problems working in the embedded world.
Python (preview) while it does work is only have baked and is supported in Desktop only. Who knows when we'll finally get something server side. I waited so patiently for the Python integration as was so disappointed that they would release it for Desktop only. What a waste of time.
Microsoft HAS direct native connectivity to MongoDB -- you can see it in Azure Data Factory. This would be SO easy to make available to PowerBI, but no, we continue to ignore MongoDB. Unfortunately this leaves me searching for a replacement for PowerBI and Microsoft losing a customer that is spending thousands of dollers per month on PowerBI.
Sad to see you go PowerBI -- but without a solution I don't see a choice.