Curved Navigation Button

You can reach what you want, either easier with 1 shape and 1 button per page:

Im gonna try to give precise instructions, as I cant sent files or videos.

Set the shape at the back, it can be a rectangle.
Then add 3 buttons, 2 of them you have to set with action -> page navigation, the other (page 1 in this case) leave it with action off.
For button 1 set style->default->fill with the same colour as the dashboard background, icon and text in black.

For button 2 & 3 set style->default->fill with the same colour as the shape, white icon and text. You can also set another color on "on hover" which will add a lot.

Or using many shapes, background, etc. for the detailed;

Here I used the same buttons as before, but added these 3 shapes

You need to have the 2 equal shapes mirrored (rotation 90° for second shape), then add ON TOP the other rectangle on top of those (this last rectangle is to avoid some lines that you might or might not have with the other shapes).
Set the 2 rectangles with rounded corner with fill equal to the other shapes, then go to general->background, and set the backgroun to white (or the same as the dashboard background).

You will have to set the white button for each page, and if you do the second option, also move the extra shapes.

Otherwise, do this shapes in another app and add it to PBI as an image (png for blank background)

Again, I'd love to send you the file, but can't; hope that helps.