The security group you set is to control the traffic in/out of the instance, you also need to setup NACL at the subnet level. To connect securely to PowerBI, setup internet gateway to allow traffic between your VPC and internet. 

http://docs.aws.amazon.com/AmazonVPC/latest/UserGuide/VPC_Internet_Gateway.html 

In our environment we setup VPN to connect our on premises data to SQL server hosted in EC2 instance.