@Nath_BI - I appreciate this is an old thread, but the answer is you do not need Azure provided your report server and your web server can communicate with one another. I have just successfully embeded one of my reports on a web page;
<iframe width="1000" height="700" src="http://my-server:myport/Reports/powerbi/myreportname?rs:embed=true" frameborder="0" allowFullScreen="true"></iframe>
The "rs:embed=true" is crucial, without it the request gets knocked back by the report server.
Hope this helps.
No, because users have to be authenticated against AD. I suppose you could create a dummy AD account and provide the credentials to the external customer. I don't really like that approach though, maybe someone else has found a way to allow anonymous access?
Power BI Report Server just provides a simple iframe approach to embed a report on a web part, This style of embedding is incredibly thin compared to Power BI embedding in the cloud.