If you are using Power BI to connect to a PaaS resource on a virtual network in Azure (including private endpoints), you need a data gateway. While you can use an on-premises data gateway (the type of Power BI gateway we have had for years), there is an offering called a virtual network data gateway that is currently in preview.
The VNet data gateway securely communicates with the data source, executes queries, and transmits results back to the service, just like the on-premises data gateway. But it doesn’t require us to provision a virtual machine in the same network (or a peered network) of our Azure data source.
Read on to see some important caveats, as well as a step-by-step guide.