I'm pretty sure this isn't supported on the current version of SSRS-PBI. There are no "Preview" features available in options in SSRS-PBI Desktop. No idea if this will make it to the release due next month but looking back I suspect not as the turnaround is usually at least a few weeks from the feature being in GA on the Web Service and the Python stuff is still in preview.
Basically when Python is run and you have a report with Pythong script where is it run? On the user client who is viewing the report or on the back end or the BI Report Server?? If that is the case what is it run on? A special instance of a Python Script runner?