I installed on-premises data gateway on one box, and addedQL server DB as one data source, all connections are green. And gateway can be found on PowerBI service page, up and running.
Wherever data source can't be connected from PowerBI desktop or PowerBI service page, here are steps
Get Data -> SQL Server Database -> Input Server Name and DataBase with exactly configured in data gateway -> DirectQuery -> Input user name and password exactly same configured in data gateway -> Unable to Connect with error below
Details: "Microsoft SQL: A network-related or instance-specific error occurred while establishing a connection to SQL Server. The server was not found or was not accessible. Verify that the instance name is correct and that SQL Server is configured to allow remote connections. (provider: Named Pipes Provider, error: 40 - Could not open a connection to SQL Server)"