Drag and drop a grid widget to your page and click on the edit, it will open the widget designer.
In the basic settings tab, you can select the type of Power BI Reports either Embedded Reports or standard Azure Reports. Based on your selection you will have to provide the necessary information.
Please Note: Before configuring the Power BI widgets, you must have a Power BI instance set up. If you are planning on using Power BI embedded then you will also need to configure that in the back-end settings, see more information here.