Hi @fdy
A single Gateway server can accomodate multiple data source connections, so you don't have to spin up gateway service for each database server. Take a look on this documentation https://docs.microsoft.com/en-us/power-bi/guidance/gateway-onprem-sizing
The general recommendation for the gateway service is to have it very close to the database. In your case you have thousands of databases spread across several servers. You have to see where the database servers are located meaning which region and network, based on that you may have to deploy the gateway server very close to that in terms of network terms to avoid latency.
But the sizing depends on various factors. May be difficult to accurately estimate the right size. The recommendation is to start with a minimum configuration. For minimum requirements go through this article : https://docs.microsoft.com/en-us/data-integration/gateway/service-gateway-install#requirements
You can measure the gateway load by logging the CPU and Memory system counters. For more information, see Monitor and optimize on-premises data gateway performance.
Based on the load, you can add additional servers as secondary gateway to the primary and form as cluster. The cluster will help you in load balancing and avoiding single point of failure. For more information, see Manage on-premises data gateway high-availability clusters and load balancing.
In your case I would suggest you to create one or more clusters based on the database server location and load.
Also be aware that if you are sourcing the data from the Cloud sources you may not need the gateway service.
