Yes, Mapbox does work with Power BI. If you're just getting started, check out the tutorial at https://www.mapbox.com/help/power-bi.
We are actively working with a trusted partner to ensure the maintenance and ongoing improvement of the Mapbox Power BI integration. The Mapbox Power BI plugin can now be found here: https://github.com/starschema/mapboxgl-powerbi.
Any questions, issues, or feature requests should be reported as an issue in this repository, or you can ask questions on Stack Overflow or the Power BI forums to get help from others who may have experienced a similar issue.