Thanks for your feedback - this is a known limitation in the preview of the CDS PowerBI functionality and we have work planned to allow direct access to entities. At this point I don't have a confirmed timeline, but if you post an Idea on the idea forums we can keep track of it there.
Regarding only being able to use two custom entities - could you please provide more details - do you receive an error? If you can give details on what you're trying to do and what is stopping you, I can discuss this with our team.
Thanks for sending through the screen shot, while I wasnt aware I've confirmed this limitation exists. At this point unless your data model is compact enough to be presented in two perspectives (if the entities are all related).
The other option is to join the update preview program, which would have other options for you to build this type of report : cdspreviewprogs (at) microsoft.com.