Dundas BI does rely on cookies, so your logon session will be lost if cookies are blocked or disabled by the browser or maybe by your server or a firewall. When cookies are not being blocked, you should just be able to pass the logonTokenId using either the embed library or a URL parameter, and the session should be maintained using cookies.
The most common reason for cookie-related issues when embedding is that browsers such as Chrome require that both pages be on the same domain, or if they are on different domains (cross-site) they must both must be served over HTTPS. If you are still having an issue, please tell us more about your scenario including whether you are using HTTP or HTTPS for each site, what version of Dundas BI you are using, and what browsers you’ve tried. You can also provide these details directly to Dundas Support instead.