Hmm, you do not seem to be the only one having this issue, unless of course, catclaw63 is you.
There is also a thread on it here:
http://community.powerbi.com/t5/Service/ADFS-Deep-Link-to-Dashboard/td-p/19140
There seemed to be the start of a resolution if you read down near the bottom of the thread. But not sure it was ever resolved.