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I have a number of Power BI reports that are published on http://app.powerbi.com to the rest of the organisation. They are organised in separate workspaces, for the different business units.

Each report has its corresponding data set that has its own configuration with regards to scheduled refresh. (The data source is an Azure SQL Database, not that it should matter).

Is there a way to centralise the database connection string across all the datasets? I don't want to have to go through all the reports' datasets to change a password or update the URL of the database server.

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I can't find an official document to quote here, but I believe these credentials are not per data set, but per data source, i.e. when you deploy the first dataset to use this data source and configure the credentials, the second one for this data source will reuse them. This means that if you make a CNAME record for the server name, you can move it by simply updating the DNS record and this will not affect the reports (for Power BI it will be the same data source).

Changing the password is different story. But if you use dedicated accounts (you should), these logins can be made on the new server, prior switching to it, so no update will be needed at Power BI's side at all. If the credentials are leaked and you change them, then you have no other choice, but to update them in Power BI (but still on one or few places and not for each individual dataset).