I have Power BI premium per user licence assigned to my account.
I have a virtual network gateway configured for an Azure SQL database set up in Azure portal. I have a Power BI report running off this data source in Power BI service currently. From what I can see, the gateway is running in Power BI service as well. When I navigate to thr dataset to set up refresh via the gateway, I can see the gateway and it says it is running but it is greyed out. It gives the yellow warning saying that it that "VNet gateways are available only in Power BI Premium."
However as mentioned I have a premium per user licence assigned to my account.