Connect to Different Datasource by User

Sorry - just had time to really test today with someone on the other end.  We are not getting any error messages.  When he opens the report, he sees my data.  I am using Direct Query with a dataset.  I would expect it to pull the data from his gateway connection but it still shows mine - even when he refreshes.  Security wise, I don't want him to see my data or vice versa.  

My ideal solution would be that the report is located in a central workspace with everyone having access so that I can maintain the actual report file.  When he logs in to the Power BI Service and views the report from his location, the gateway on that computer (setup using his email) points to the database on that computer.  The report uses that database to show data.  He would never see my data and I would not see his.  But what it looks like is happening is his gateway is giving him access to my database.  

I think maybe I have misunderstood what the gateway does or I have set up the gateway incorrectly.  Any advice?