After updating to October 2021 Version, the option for renaming layer for Power BI data is not possible.
As shown, we can not rename "Coordinates"
Rename option is not available in this version of ArcGIS for Power BI.
Or: Renaming "Power BI Layer" that is assigned by Power BI and we can not rename it!
<Rename> option is not available:
@AnthonyLatini Is there anyway to rename the Power BI layer on the legend?
Sr. Planner - City of Plano