I am using US Census Data to map land and water regions in the Hawaiian Islands. I get that information in the report correctly. But I also get results from regions that are not in Hawaiian Islands although the iinformation is related to Hawaii.
ArcGIS Maps for Power BI uses the Esri World Geocoding Service to locate point features (such as addresses, United States cities, and world cities) and the Esri GeoEnrichment Service to locate boundary features (such as ZIP Codes, states, provinces, and countries).
When you directly drag name field to Location in ArcGIS map of Power BI Desktop, it is not enough for ArcGIS map to correctly guess your intent as some names may be ambiguous for ArcGIS.
In your scenario, please change location to one country as below, and if the issue still persists, I would recommend you add the latitude and longitude values in the table so that ArcGIS map gets exact places for you.