Power BI Desktop saves a data source credential for each data source defined and a privacy level for that source. It's necessary to modify these credentials as passwords change and to set privacy levels on data sources, to prevent confidential information from being exposed to external sources during the query folding process.
Data source credentials and settings are not stored in the PBIX file but rather on the computer of the installed application. Privacy levels are described in the following table and a reference to additional documentation is provided in the See also section.