Unfortunately, the option in Power BI desktop is not called 'z-order', but is called 'layer order'.
Option 1 - Here's how to affect a single selected visual:
- Select the visual to move
- Go the 'Format' tab at the top 'Ribbon'
- Select 'Bring forward', 'Send backward', or use the drop-down to select 'Bring to front' or 'Send to back'
Option 2 - Here's how you can easily change the z-order of all visuals on single page:
- Go to the 'View' tab at the top bar
- Check 'Selection Pane'
- In the Selection pane, select 'Layer order'
Now, you can adjust the 'z' of all the visuals on the report page. You can also change the tab order in this selection pane. This also makes it a lot easier to select a certain visual when they are covering each other.