Data Gateway does not refresh datasets on mixed datasource - mixed from OnPremises and other sources

Hello - BI Gateway experts.

I have a Dataset that consist of OnPremises tables and Azure marketplace data table that I built for my report, and I want to have the dataset (from onPremises) Refreshed.

When I go to my BI service to Schedule Refresh, The Data Gateway is not presented.  

I tested a scenario of data set that I built prior to adding Azure data to the dataset (data from only onPremises datasources), and the Gateway was presented to configure for my dataset.

How do I:

Keep separation in the data set (between onpremises and not-onpremises data)?     ...such that the Gateway will refresh the onPremises data.

My queries will reach the rest of the data (Azure) - so, I understand.

OR

Does the Data Gateway (Enterprise) have the capability to take a dataset that is mixture of onpremises and not on premises data? 

OR

Am I missing something very obvious?

Help me mister BI wizard!!!