You'll want to reach out to SharePoint Online support - it sounds as though there is likely a header blocking the page from being embedded. Many sites, like YouTube and Facebook for example, do not allow their pages to be embedded by other application. You have to use a specific embed code in order to load their pages in another resource. It may be SharePoint Online has specific embed code/urls that you can use.
You should see an error when you open the dashboard in a browser, with the browser Developer Tools open. This is the error to show to the SPO support team.
I've just confirmed this is the case, here is the error I get when I do the same:
Refused to display <sharepoint online url here' in a frame because it set 'X-Frame-Options' to 'sameorigin'.
This means SharePoint Online has a header set that does not allow its pages to be embedded in other applications - you'll want to reach out to the SPO support team to see if they have embed friendly urls available. (On Tableau Server, clicking "Share" shows the embed friendly url, for example)
Thanks a lot for your advise!
I will check with my SPO team.