Good afternoon all!
I was looking over a few of these comments related to the Join layer feature. Currently, to use this feature, the Join layer widget must remain open while making selections. The reason for this is because of some unique infrastructure/environment variables that are currently preventing us from accessing and selecting these items directly. For example, if you have a Power BI Data layer on the map (e.g., addresses), the selection tools will only interact with the Power BI Data layer when selecting them.
We are currently enhancing this feature and working on some BUGs that were reported, however, there is always room for improvement in general.
I would encourage to post in our Ideas page to enhance this feature. I have also added a reference page for the Join Layer documentation.
Ideas: ArcGIS for Power BI Ideas - Esri Community
Reference: Join layers—ArcGIS for Power BI | Documentation