Can we create RLS from my sql server instead of in power BI?

OK. Now we are getting to the root of the issue. Your requirements are that A) there be Row Level Security on the data so users can only see THEIR data, and B) Create their own visuals. 

Please investigate the options for Publishing the APP. On the "Audience" tab, there are check-boxes on the right, in particular, one for "Allow people to build content with the datasets in this app audience."

Users building their own visuals when you enable this setting should still be bound by Row Level Security.