Dynamics 365 Finance and operations has two databases, AxDB which is the business database and AxDw which the entity store database serves for data warehousing. Microsoft has never allowed direct public access to the business database, instead, Microsoft has given three options to connect Power BI dashboards with Dynamics:
Integrated dashboards inside Dynamics (using entity store)
External reports accessible from Power BI portal/mobile app etc. using OData
For this approach you just need to connect to Power Bi > Get Data > More… > select Dynamics 365 Online connection type and give it the production URL (something.operations.dynamics.com/data) and sign in with your credentials. This approach is clean but has a bit of performance issues.
Create your own database (BYOD)
For more performance and flexibility of the second option you can achieve it by (BYOD) Exporting data entities to a new Azure SQL database where dynamics will push all transactions to that db. Hope this clarifies it well.