Data refresh through PBI Gateway keep prompting credential missing incorrectly

The issue resolved for me as well after having a call with the MS support. In my case the issue was related to how we set the file based data sources in desktop and how we define the connection in the gateway. In our earlier reports whenever we need to point to a file as source, we had to point to the file source in the desktop and than also add the same file to the gateway. I believe maybe last year, we noticed that the option of setting up a folder was added to gateway. We than created this folder as a gateway while keeping the sources in the reports pointing to files in this folder. And we have been running this way since than.  I believe whatever the last changes that were introduced, sort of closed that loophole (if you will) and started to fail the refreshes. 

The fix was to go into the report and update the source to point thru the folder. Here is link https://docs.microsoft.com/en-us/power-bi/transform-model/desktop-combine-binaries that might explain this even if you are not necessarily combining files.