Yes, I'm getting that error using the PowerBI preview web part.
the embedded code I got from File > Embed in Sharepoint Online - On the online Instructions directly shared from the PowerBi page it also mentions that you can copy the URL where you're viewing the report; this option I also tried, the difference herer was that when adding the report link, it was able to see the page name, and also gave me an option for the Display (16:9). The problem is, that it still shows the same error. So I dont know what application is the one failing and at what point.
And to answer your last question, I personally have not been able to do it. This is my first time trying, but I know some other colleagues have done it successfully.