Hello @ClackamasCrime_Analysis -
This is possible though there are limits on how much dataset you can spatially intersect or select.
If you have your ArcGIS Map layer as a reference layer and your SQL server X/Y dataset as a Power BI dataset layer, you could indirectly select locations on your Power BI Dataset layer using shapes / boundaries from the ArcGIS Map layers using the "Selection tools".
In the below report, I am selecting locations of customers overlayed on U.S Counties layer in the Map which in turns filters other visuals on the report.
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