Difference between Embedded data source and Shared data source
Embedded data source
Embedded data source connection will be shipped along with the dashboard report. It can be used only by the created dashboard reports.
Shared data source
Data sources can be shared across multiple Dashboards. If the database has moved or renamed or database server credentials has updated, it will be easier to update the data source which is shared with multiple dashboards. Shared data source is optional for Server Dashboards.
In the Dashboard Server, there is no performance difference between an embedded data source and a shared data source. When you can switch the embedded data source to a shared data source, the dashboard can be rendered fine without any time delay.
Refer to the following link to use a shared data source.
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