Reza Rad explains how the Power BI gateway works:
You don’t need a gateway in all scenarios. Only if the data source is located on-premises, you need a gateway. For online or cloud-based data sources, no gateway is required. For example; if you are getting data from CRM Online, you don’t need a gateway. However, if you are getting data from SQL Server database located on your local domain server, then you need a gateway. For Azure SQL DB you don’t need a gateway. However, a SQL Server database located on Azure Virtual Machine is considered as on-premises and needs gateway.
This post could not have come at a better time for me, so I’m definitely happy to see it.