sharepoint gateway error (not showing Oauth in Datasource Setting) and failed in schedule refresh

Hi gurus,

I am facing the following problem which seems quiet tedious.
I uploaded some csv files onto sharepoint as Sharepoint folder connection. With PBI Desktop everything works smoothly (each change of the datasource is reflected to the PBI report).
Once i upload the PBI file to the PBI Service, it start to become a bit messy.
First i tried to refresh manually the report from the Service but i was redirected on the dataset settings (image below). We have also a on-prem gateway so i have applied it and just below it appear the sharepoint credentials. Setting up the latter (using Oauth and being redirect to our organizational page) everything seemed ok as per notification. But...the subsequent refresh failed again and the manual too.

I have tried also to create a Datasource on our gateway but again unsuccesfull. The first strange thing noticed is that Oauth here is not present in the drop down menu. (only anonymous and Windows which by the way i tried but with no joy). In this last case the error shown is the following (image below)

I ask you if can you shed some light and or if is worth raise a ticket with Microsoft as it seems that in past they were able to solve the Oauth issue:
https://community.powerbi.com/t5/Integrations-with-Files-and/Sharepoint-Online-scheduled-refresh-not-possible-oauth-not/m-p/91397#M6603

Thanks in advance

Luca Zanotti