Issue with connecting to on premise SQL Server using data gateway

Question

I have a SQL Server on premises which is normally used over an RDP connection. Now I'm in the process of implementing PowerBI reports and based on documentation available in MS site, I have completed the following,

• Installed Gateway Service in a machine on the same network as SQL Server, which can access the DB server
• Configured the gateway service and also went into the Power BI Online > Manage Gateways to add a new Data source
• From Manage Gateway, I have added a new data source and it gave me successful message.

Now when I go inside PowerBI desktop and connect to the SQL Server using same server name as provided in Power BI online, I get the following error:

Also, did a port check on SQL Server from the machine where the data gateway is installed. UDP port is listening correctly:

Any idea on how to resolve this?

Answer 1

Power BI Desktop should be on-premise. Once I established a VPN connection, the issue got resolved.

Gateway setup is only for published reports and not meant to fetch data for PowerBI Desktop.