However in the meantime I have already received feedback from MS Support which appears to contradict your answer.. can you advise further on who is correct here?
The answer I received was:
"If you are using power BI embedded report for customer, the customer could export the data you enable it.
We provide the API to enable the function of exporting data when you create the Power BI embedded for customer. You can refer below document for it. Please also let me know if you have any other questions on it.