Power BI and Azure are two related services, but with a considerable independence between them. Power BI share the Azure Tenant for security management, but in relation to networking, they are in completely different environments.
Frequently Power BI needs to access to Azure resources, such as Azure SQL. If we use the easier and most simple configurations, all the network communication between Power BI and Azure services will happen through public internet, creating a security risk.
Of course, many Azure services have their own firewall, protecting the access by IP address. Azure SQL has a firewall as well, two in