Linking Power BI Desktop to a Data gateway defined in Azure

Thanks v-qiuyu-msft for the reply regarding Power-BI Desktop not needing to access the gateway. I think I understand what you are saying. Design the reports internally using a direct connection to the internal SQL Server but re-direct to the gateway when in the Power BI Service. Cool. Got it. So I built my reports and connections to the SQL Server database. Works perfectly and I can refresh the data in PowerBI Desktop. I then publish the PBIX file to PowerBI Service.

However when I go into PowerBI Service and try to update my dataset to use the existing Azure gateway, it says "You don't have any Gateways" and only offers to Download and Install one. I can't find a way of referencing my pre-existing Azure Gateway in Power BI Service for the data my report needs.

None of the "Get Data" options seem to allow the use of a pre-existing Azure Gateway either...

I'm confused as to how I am suppose to make this seemingly simple connection work. I don't want to install a Gateway, I want to link to an existing one in Azure.

Regards

Evan