Data Gateway Personal Mode | Failed to Update Data Source Credentials | Status Code 400

On a Windows Server you should set up the Enterprise/Standard gateway, not the Personal Gateway.

Check your Proxy settings and make sure the gateway can successfully communicate with the Azure backend.

This has been resolved - It was actually a Network Issue pertains to NAT Loopback.

The network I have been working on does not support NAT Loopback - Data Gateway and SQL Server was installed on same network servers and I have been trying to connect the Data Gateway with SQL Server using Public IP rather than local IP - As I mentioned NAT Loopback was not enabled therefore Data Gateway was not able to access the SQL Server with Public IP. When it was setup using Local IP, it worked 

Moreover, It is working with Personal Gateway too