Hy Jun,
it depends on some factors.
Baiscally this will only work with a Tier 2 environemnt.
As Layen has written you need to do one step on the LCS, just import the report you want to have in your PowerBi Service Workspace to the LCS Power BI report model area.
Then you need to to go to the F&O environment (UAT, PRD, ...) where you want to have the data connection in the report.
On the System adminitsration/Setup select Deploy PowerBI files. May be you need to authenticate here for the LCS access.
Then you see the list of Power BI reports that are in your LCS environment.
Select the file you want to deploy to your Power BI Workspace and select "Deploy Power BI files"
During report deployment the data connection for this report will be changed to your current F&O environment.
After that the report should be available in your Power BI Workspace.
So if you deploy the same report e.g. in UAT and PRD it will be hard to identify the correct one in the Power BI.
An keep in mind there are different Licensing requirements using the report in Power BI Service.
The "copy link" as in your sceenshot does only hold the copy to your F&O page of the embedded report, not a link to the PowerBI
Hope this helpd
#Herzliche Grüße / kind regards,
Andreas Raithel
D365FO Solution Architect