"Invalid Credentials" error creating new dataflow that uses On-Premise Data Gateway and SQL Server

The data source is configured correctly in the gateway and works just fine for datasets, and in the workaround scenario I mentioned in my post. 

The issue is specific to the form you fill out when initially creating a SQL Server database connection in a dataflow. Once the workaround is used and the connection has been setup, it works fine and the dataflow is able to load data and refresh.