#System Health Session The system_health session is an Extended Events session (available in SQL Server 2008 and above) that is included by default with SQL Server. This session starts automatically when the SQL Server Database Engine starts, and runs without any noticeable performance effects. The Power BI Deskop file is setup to connect to a default instance of SQL Server which provides various insights into the health of the instance.

If you need to connect to a name instance or a remote instance of SQL Server, then you need to change the connection to the SQL Server instance for the queries used in the report. The instructions to change the connection is available on this PowerBI community thread