To ensure the security of data based on different roles in Virtual DataPort. I would do the following steps
* Create the ODBC without giving any credentials to connect to Virtual DataPort.If the credentials fields are empty, then it will request the credentials when you are accessing the ODBC DSN.
* In Power BI, navigate to Get Data > others > Denodo.
* Provide the DSN name and select Data connectivity mode as “Import”.
* Then select the authentication mode as Basic and provide the user credential to connect to Virtual DataPort.
* Based on their privileges the data can be accessed from Virtual DataPort.
Please note that, while creating the ODBC you need to provide a Database name, if the user at least has privilege such as connect, metadata and execute to access to the database to connect using ODBC DSN or otherwise you may need to create different DSN for particular Database.
For more information, you can refer to the User Manuals [Denodo Power BI Custom Connector - User Manual](https://community.denodo.com/docs/html/document/denodoconnects/7.0/Denodo%20Power%20BI%20Custom%20Connector%20-%20User%20Manual).
Hope this helps!