Hi @Anonymous,
I typically recommend my clients to never use the Power BI Service for creating reports, because there's a big caveat that gets easily overlooked. At this point, there's no real way of doing any versioning or source control of your .pbix files in the service. With a small team, this might not be that big of an issue. Once there's some fair usage of it, you really want to make sure all the work is backed up proper.
Yes, with sufficient priviliges, you can download the .pbix and go from there. At that point, you're making a severed copy of it, which cuts all ties to the original report. Upload it again, and you get some funky stuff. My advice would be to make sure you explain the shared datasets concept in Power BI Desktop to those key users, and make some real ways of working on collaborating on reports/datasets.
The performance you described was something I've never noticed, but I also never put any real time into it, after discovering that versioning is an absolute no-no.
Melissa Coates has a wonderful writeup about it, if you want to deeper into things.
