On the power bi service you need to click on the gear icon in the top right and navigate to "Manage Gateways".
If you already have a sql server setup then you should have a gateway cluster that could be named as the server.
In the cluster you can have multiple Data Sources.
From my experience each database on the same machine will be setup as a separate datasource (regardless of how many reports may be using the dataset).
So you need to Add a datasource, configure the settings appropriately (same name for the Server, but different database name).
The most important part is that the naming that you do in the datasource configuration has to match up exactly to what you have used in your connection string in Power Bi Desktop.
Hope that helps.