Datamart - Scheduled Refresh updates through Iport with Azure SQL Database

I am a relatively new user to PBI and have gotten into the use of datamarts for setting up our strucuure in the workspace as I would like end users with free accounts to have access to relational information and to create reports directly within the service. I am open to hearing other suggestions I I may have gone in the wrong direction here.

The datamart created is within a Premium capacity workspace. Creation of the datamart is good, but I was unaware of some of the disadvantages and restrictions that come along with DirectQuery. I tried using the original dataset generated from the datamart and after trial and searching online, I see you cannot use date hierarchy nor can you create group. Now I know ways to get around these issues within power Query, but I also have a performance concern of DirectQuery vs Import.

After looking at the vrious posts on here and within microsoft documentation I see you can connect to the datamart via import. I tried three different ways to connect to the datamart through Import rather than DirectQuery:

(process 1) datahub->datamart-> Connect to SQL endpoint

(process 2) Get data-> Azure SQL database -> Copy and paste connection string from datamart

(process 3) Get data -> SQL Server -> Copy and paste connection string from datamart

(1) Connect to SQL endpoint screenshot

These 3 options are datasets with corresponding reports that are published in the same premium workspace as the datamart.

When I updated the datamart within the actual power bi service datamart, the changes to the datamart did not process down to the subsequent imports after doing a refresh on the datamart, then once that refresh is complete, refreshing the 3 datasets created from above. I understand the SQL server (process 3) will not update due to no gateway connection, but I was surprised that the Azure SQL database (process 2), nor the PowerBIDatamarts (process 1) did not refresh. Screenshot is below with the refresh times and such. I updated the Datamart and then refreshed it after the update. 

When I go to the gateway connection for all 3 processes it states I dod not need a gateway connection due to everything beng in the cloud. 

If I do not need a gateway connection, due to it all being in the cloud, then why won't the dataset update? I also have scheduled refreshes going as welland having truble creating a gateay cinnection to test that out to see if it remedies the issue.

TLDR: How do I use the connection string from Power BI datamart to create a dataset in Desktop with Import rather than DirectQuery and get it to update the imported dataset after a refresh? Gateway connection says all data sources are in the cloud and it's unnecessary.