When I think of predictive modeling, to me that typically indicates some form of regression analysis. You can do very simple linear regression in Power BI, but to really do it well I would recommend doing your predictive modeling in R and then integrating that analysis into Power BI. Fortunately, R and Power BI work beautifully together. I am actually working now on an Enterprise DNA platform course on R for Power BI users, to roll out this summer.
For an example on integrating predictive R modeling with Power BI, I would direct you to our team Data Challenge entry #11, where we built an R model of predicted COVID deaths worldwide within Power BI.