You can make the
YOUR_USER_FOLDER\Documents\Power BI Desktop\Custom Connectors\
Folder yourself. I have seen it created on installing Power BI Desktop and sometimes not created - somewhat inconsistent.
The PowerBI app isn’t fussy about where it installs Visuals from, but that works for Connectors.
Then you’ll need to go to Settings -> Security -> Data Extensions
and activate the following option:
Checking the connector is loaded
Now open PowerBI, and you should see Speckle (beta)
appear in the data source.