Qiuyun,
Thanks for researching my issue.
While I don't believe this issue is causing a failure in the processing of the Dataflow, I think it should be considered a bug and fixed. It cost me a lot of time investigating this issue, and likely will cost many others a lot of time as well.
This issue as reported yesterday was running on the latest gateway version, the same as you. I believe that I also saw the same issue with an older gateway some weeks back, but I don't have that firmly documented and can't even tell you which gateway version that was.
I want to confirm that the issue you are seeing is essentially the same as mine. The Dataflow insists on keeping the old data source, even though it is no longer needed, and there is no way to clean that up.
The slight difference you and I see is that my test case starts from the ODBC. With the starting environment being a dataflow with data source A, I went to the source server and modified data source A in ODBC so that it pointed to data source B and renamed it to "Data source B" as the first step. From Power BI perspective, this should be the same as deleting ODBC dsn=A and adding dsn=B. I am sorry I did not initially report this specific detail. I believe this detail accounts for the minor differences in our results.
Here is a screenshot of my gateway version information.
Our gateway is running the latest version, March 2020
Just now I deleted the old dara source A from the gateway, and this is what the dataflow connection looks like now:
Thanks and regards, and stay safe,
Tom