The Audit Logs are the third menu item in the Power BI Admin Portal. As you can tell by looking at a copy of the screen below, Audit Logs are not really part of Power BI. Yes the ability to log all of the content in Power BI exists in the Audit Logs, but so does the ability to review the audit logs for things like Exchange Mailbox Activities and User Administration Activities.
If the Office 365 Administrator has granted a user Power BI Administration rights, this is what the newly minted Power BI Administrator will see when trying to access any search activities. It appears that you the user has rights, until that user tries to do anything on the screen. At that point, this error window appears.
Click through to see how to grant audit log access.