Several weeks ago, I had a video that talked about Row-Level Security in Power BI. Microsoft released some updates to improve this feature.
Row-Level Security in Power BI Desktop
Row-Level Security in Power BI has been moved to Power BI Desktop. Specifically, the steps of creating the roles and defining the DAX filters for those roles. This means that when you publish your Power BI Desktop report to the Power BI service, your role definitions will be retained.
Image from powerbi.com
You can find more information over at the Power BI documentation for Row-Level Security. This includes steps to create in Power BI Desktop, as well as how to manage members in the Power BI service. It also includes a list of the current limitations for the feature. Refer to that document for the latest information regarding RLS.