Load data from Databricks to Azure Analysis Services (AAS)
Power BI Dataflows now supports Parquet files, so you can load from those files to Power BI, however the standard design pattern is to use Azure SQL Data Warehouse to load the file then layer Azure Analysis Service (AAS) over that. AAS does not support parquet, you would have to create a CSV version of the final table, or load it to a SQL Database.
As mentioned the typical architecture, is to have Databricks do some or all of the ETL, then have Azure SQL DW sit over it.
Azure SQL DW has now morphed into Azure Synapse, but this has the benefit of that a Databricks/Spark database now has a shadow copy but accessible by the SQL on Demand functionality. SQL on Demand doesn't require to to have an instance of the data warehouse component of Azure Synapse, it runs on demand, and you per per TB of query. A good outline of how it can help is here. The other option is to have Azure Synapse load the data from external table into that service then connect AAS to that.