The March 2019 update to the Power BI Desktop and Service added a much requested feature; heat maps in the Bing Maps visual. Read more about this update and the rest of the March updates at the Power BI Blog.
While there have been other visuals in Power BI that have supported heat maps, many organizations have requested this feature in the Bing Maps visual for various reasons. Best of all, this feature was available in GCC at almost the same time as it was made available in the commercial cloud.