According to the official document: https://docs.microsoft.com/en-us/power-bi/developer/embed-sample-for-your-organization
If we have a power bi server, and have all our data and reports On-Premise, do we still need these?
If true, what are the usages of these??
Have you got your own Power BI report server?
Embedding needs all of those elements - but embedding means 'something' in MS/Power BI speak. It's not just the ability to be able to embed a report somewhere. Embedding is part of the licensing approach, but at the tenancy level.
As I know Azure is a cloud service.
If we already have all the data and reports stored on our own local server (sql server, report server).
I'm just confused about what is the Azure used for in this scenario ?
Power BI and Dynamics use CDS to communicate, hence Azure.
Did you follow the link I posted? There's a comparison of Server vs Service here : https://docs.microsoft.com/en-us/power-bi/report-server/compare-report-server-service