Power BI Embedded and Azure Active Directory Authentication

I'm also trying to achieve a similar scenario.

1. Create a direct query report in the Power BI portal pointing to a sql azure database
2. Set the datasource of the report's dataset to a read only replica in Azure via the portal API
3. Allow an Azure AD authenticated user to access the dataset with the previously set datasource

I did not find a way to make use of the on behalf of token in the connection string since it's not possible to pass the token in the connection string currently.

https://github.com/Azure/azure-content-nlnl/blob/master/articles/sql-database/sql-database-aad-authentication.md

I would like to know if this is even possible and if not if there is any plan to allow for passing an authentication token in the actual connection string to sql server. I don't understand why this would never be possible given the fact that people already store sensitive credentials in the connection string the world over. Maybe this isn't the right forum for this question but a referral to the appropriate place to ask for this would also be useful.

Thanks