Create Dataset on Power BI service from remote SQL server

Hi all

I succeeded to deploy the gateway on my remote server and established connection with Power BI service.

However, it seems I cannot create a dataset from my remote SQL server, using Power BI online service. It seems I first need to create it in the Desktop version and then upload it or publish it to my workspace. Then, use the online service to connect to that dataset. Only at this point, I can get live data from that remote SQL server.

Is that correct? Am I missing something in how Power BI online service works?
Many thanks.