Error: Alternate credentials for Windows authentication is not supported in DirectQuery mode

I have a big problem when i want to use DirectQuery. I have a DomainController with installed SQL Server. I have installed Data Gateway and must modify the Service Account to Local System to be able to finish setup. i have setup the Data Gateway successfully in Enterprise Mode. In PowerBi.com everything looks fine and can see the Gateway and no errors.

When i now create a new File with a SQL connection and Mode "Import" and publish it to PowerBi.com, then it works fine and when i schedule a refresh, this works fine, too.

But i want to use DirectQuery on a Database table for example. For this scenario i have created a new Power BI File and selected the same database which i already created as DataSet in PowerBI.com under my Gateway. Then i load the data in the file and while trying to load it i am always receiving the following error message:

Create Connections

Alternate credentials for Windows authentication is not supported in DirectQuery mode. Use your current windows credentials, supply a database credential or switch to import mode.

In PowerBI.com under Gateways and Data source i have used Windows Authentication and used the Administrator account which has also permission on the Database. I dont know what this message means and i should change. Can someone help me?

Best regards

Ybog