Yes, it works for embedded report too. You can use the following syntax:

embedUrl =
‘https://app.powerbi.com/reportEmbed?' +
‘reportId=’ + this.reportId +
‘&groupId=’ + this.reportGroupId +
“&$filter=EmployeeTable/EmployeeId eq ‘“ +
this.selectedEmployeeId + “‘“

The key here is “&$filter” which makes it work and this is not well documented. In the filter string, you can provide table-name/column-name and filter on any column of any table. You can also use the ‘and/or’ operators to combine multiple table and column values.