Power BI Desktop Error Message

When I publish a BI report to the company workspace i get the below message. I am using direct query and the data is refreshed when I open the report but I need to understand this message and if a gateway is needed. I have read a lot online and a lot points to a gateway not being needed however there is some other information that contradicts this. So which is it? Gateway needed or not. If not, is there a way for me to turn off this message so it doesnt pop up when I share this with a client in their BI enviroment?

I am pulling data from Azure SQL DBs.