Hi @JeanYao,
Thanks for your question! And thanks @RodPBI for the reply.
I'm not quite sure what data is in your Shape field. To display Line data in ArcGIS for Power BI, EsriJSON format is required. That way, you could directly drag the geometry data to Location field well and map the the Line data. To extend @RodPBI's point, ArcGIS for Power BI doesn't support for Shape file. You could try to share the Line data to ArcGIS Online and add as a reference layer in ArcGIS for Power BI.
Please let me know if you have any questions. Thanks!