PowerBI Dashboard Embed URL Did Not Work with SSO

We have PowerBI Report service dasboard setup with SSO. When we tried to user the following instruction to setup embeded URL
https://docs.microsoft.com/en-us/power-bi/report-server/quickstart-embed
with https://myserver/reports/powerbi/Sales?rs:embed=true
embed in iFrame, we got the SSO sso refuesed to connect error, see following screenshot below

1. Open SharePoint web page with embeded URL, enter uer name and password

2. We got the following sso refused to connect

If we sign in direct to https://myserver/reports/ to view the dash board, then open another browser tab to access SharePoint page with embeded PowerBI URL we can view the dashboard.
What could be issue for above sso refused to connect error and how to fix it?

Thanks
Tee