Let’s start with what services may require you to use a data gateway.
You will need a data gateway when you are using Power BI, Azure Analysis Services, PowerApps, Microsoft Flow, Azure Logic Apps, Azure Data Factory, or Azure ML with a data source/destination that is in a private network that isn’t connected to your Azure subscription with a VPN gateway. Note that a private network includes on-premises data sources and Azure Virtual Machines as well as Azure SQL Databases and Azure SQL Data Warehouses that require use of VNet service endpoints rather than public endpoints.
There are a few of them so check out Meagan’s post and take notes.