Fabric SQL Analytics Endpoint to Power BI Desktop Security Concerns

I am currently struggling with a Fabric/Power BI implementation. Our security team has concerns over the public connection from the Fabric service to power bi desktop. The organization currently closes the sql port on the network. I have not encountered this limitation in the past and am trying to figure out how to appropriately work around these security measures.

I am aware of the private endpoints that are available through Azure; however, what I am hoping to understand better are two things, if we create private endpoints, will that enable access through SQL endpoint even with that port blocked?

The second item is to understand what security measures are currently in place between Fabric SQL Endpoint with public internet and desktop Power BI? I believe from a Power BI security whitepaper:

Power BI requires all incoming HTTP traffic to be encrypted using TLS 1.2 or above. Any requests attempting to use the service with TLS 1.1 or lower will be rejected"

We do allow connection via Direct Lake and appear from a security standpoint to be ok with that method, as a non-security individual, I am unsure of the rationale between the two.

I have come across the list of items to be aware of when implementing private endpoints,  and the obvious standout is transitioning on prem gateways to vnet; however, If anyone has implemented the private endpoints, is there anything else to be particularly aware of?