Would prefer actually import the Visio diagram into the Power BI file, instead of an external link to Office 365.

When I have multiple Visio diagrams linked to a Power BI report, loading/rendering them very time consuming, and sometimes it would end up fail. Also, if I am to share the Report/Dashboard with Visio diagram with others in my organization, does it mean that I need to share the Visio file as well? It could be a big problem.