Connecting to SSAS tabular model

Pretty sure SSAS must be in a domain in order for its authentication to work.  What you have done thus far is likley connecting because you are local admin on the box.  So your options might be to make the Azure VM a domain controller, or sync your local AD to Azure AD and utilize Azure Active Directory Domain services to create a virtual domain controller to which you could add the SSAS instance, or forgo the SSAS instance in the VM altogether.  Seems like everyone wants to install SSAS in a virtual machine in Azure just to test it before setting things up on premises.  Not sure if that is your scenario but based off SSAS authentication it is not trivial.  

One thing to remember is that that any Power BI Dataset deployed to the Power BI Service is itself already a SSAS tabular model so possibly the seperate stand alone instance might not be necessary.  The Power BI Service allows you to schedule refreshes of dataset (i.e. SSAS processing), connect to relational databases to retrieve hte data (also processing), and it allows users to connect directly to Datasets with its Analyze in Excel feature so they can get the standard Excel Pivot table analysis if desired.  Additionally row level security is supported in the service and the price is pretty good (i.e. free since in your case it sounds like you are using Pro features already since you have implmeented the gateway) vs. the price for Azure VMs running SQL Server. 

Just something to think about.  You would need to determine what features you are needing vs. what the service already provides.  If you must have MDM vs. Tabular then its likely not the correct fit.