Geo Fence Visual

You definately can. I've done this with the Shape Map visual using local authority maps I found online. Per Microsoft's documentation for the Shape Map visual the 'map' needs to be imported in TopoJSON format so depending on the format of your shape file you may need to convert it first (see https://learn.microsoft.com/en-us/power-bi/visuals/desktop-shape-map).

One trap which took me a while to figure out: I'm in New Zealand and the shape map that I was working with was in NZ Transverse Mercator format. This was causing the shape map to render incorrectly in PowerBI as a series of abstract lines. I was able to resolve this by editing the shape file in ArcGIS Pro and converting to the WGS-84 coordinate system. If you aren't using ArcGIS and do need to convert between coordinate systems you should be able to do this using https://mapshaper.org/ or in QGIS (see https://docs.qgis.org/3.28/en/docs/user_manual/working_with_projections/working_with_projections.html?highlight=wgs%2084#datum-transformations)

See also this previous post here:

https://community.powerbi.com/t5/Desktop/Custom-Shape-Map-not-working-in-proj-wgs84/m-p/877895