Hello,
When I go to the Insert Menu and either use the OneDrive option (and navigate to the PowerPoint) or use the Upload option it will automatically Import the PowerPoint - I am not given the option to Embed. (see example taken froma tutorial videoat 21:02 minutes):

When I follow these directions from the page you suggested:
In Sway, do the following:
- From the top navigation menu, click Cards.
- In the All Cards pane, click Embed, and then type or paste the embed code of the content you want to add
to your Sway. NOTE If
you paste a URL (Web address) as your embed code, it must contain the secure prefix https://instead of http:// or the content will not be embedded.
I pasted the following link (from OneDrive):
https://poudreschools-my.sharepoint.com/personal/abraden\_psdschools\_org/\_layouts/15/guestaccess.aspx?guestaccesstoken=g2p69%2fg%2fZA%2bxN83SpP8Npd%2bwiZUKlu58lyq5VzocAFY%3d&docid=0cf2cc578c29e45a7b98b3515f68e8717
And got the following error:
When I try to use the embed code from PowerPoint Online:
<iframe src='https://poudreschools-my.sharepoint.com/personal/abraden_psdschools_org/_layouts/15/WopiFrame.aspx?sourcedoc={cf2cc578-c29e-45a7-b98b-3515f68e8717}&action=embedview&wdAr=1.3333333333333333' width='350px' height='286px'
frameborder='0'>This is an embedded <a target='_blank' href='http://office.com'>Microsoft Office</a> presentation, powered by <a target='_blank' href='http://office.com/webapps'>Office Online</a>.</iframe>
I get this message:

Does this help clarify my situation?
Thank you for your assistance.
Alex