NOTE: The following works for the "Import Query" option, only.
Execution of Stored Procedure:
1. Right click on your SP, in SQL Server and select Execute. A new query window opens up, as your code is executed, which was responsible for execution. Copy the Query.
2. In Power BI Query Editor, select New Source-->SQL Server. After giving the server and database, in the same window click on Advanced Options, paste the query in the SQL Statement that opened up. Check Navigate using full hierarchy and click on OK.
3. Now, you should be able to see data for the parameters you passed.
When you've applied these changes, you will see the dataset for this in Power BI Desktop from where you can create reports.