I have set up Redshift ADFS integration that works with Workbench and DataGrip, however I can't see any options for this in Power BI. To work, we need to use the JDBC driver found here: https://docs.aws.amazon.com/redshift/latest/mgmt/configure-jdbc-connection.html, with the extended options it requires (idp_port, idp_host etc). Is it possible to do this in Power BI?
Based on your description, I have not found a option to do this in Power BI. I'd like to suggest you use the embedded connector in Power BI. For further information, you may refer to the following link.
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