Hi Jan Biskupski,
To add the SSRS report to dashboards in CRM 2016, you could refer to Add Report to Dashboards in CRM 2015/2016.
Also, can you view the report content successfully in CRM although with this warning message and how did you embed the report? It might be related to the Iframe an SSRS authentication. Here is a similar thread: How
to remove the out of box alert message box in CRM 2016
Best Regards,
Henry