The "stop lights" there today are not supported inside Power BI. You can't create them there. On the other hand, if there are KPIs on SQL Analysis Server or if you build your model in Excel and import to Power BI, you can have them in Power BI.
I my case, I created the KPIs in Excel (using Power Pivot) and imported the whole model using the "Import" option on Power BI.
One draw back of this approach is that after importing to Power BI, you can't edit in Power BI the values of the "stop lights" and you can't import again because importing creates a new file, always.