Security in Power BI Service

When you say you built a dashboard, is it really a dashboard, or a report?  Did you publish a Power BI Desktop file first?  If yes to both, then just add the RLS in Power BI desktop and republish the workbook.  All work you did in your dasboard should not be affected.  If you built reports in the service (ie not dashboards), then you will lose the work you have done

https://powerbi.microsoft.com/en-us/documentation/powerbi-admin-rls/

I don't see what the issue is.  All dashboards are built in the service. You can never build one in the desktop App. Republishing a desktop file will have no impact on your dashboard, assuming it was a desktop file that you published in the first place