Enable the image link from the sharepoint
Power BI does not have a mechanism to retain the authentication to the URL with the image. It's by design and only anonymous links can be used with Image URL. But is it able to be enabled the image link from sharepoint.
Beth Hall commented
Since this is a SharePoint thing as much as it is a PowerBI thing, I have posted it as an issue on the SP UserVoice. Please vote for it, so the issue gets highlighted as important.