Data flow refresh using web connector fails with invalid credentials

Hi,

I installed the power bi gateway and created a data source using the web connector. When creating the data source, I gave it a name and the URL and configured as anonymous authentication.

When creating the data flow, I tried to use the name of the data source but it doesn't work, the web connector requires the URL again. Ok. Data Flow created.

However, I can't refresh the data flow, it always results in authentication error, the message is "Data source credentials are missing or invalid. Please update the credentials for Web in dataflow". I can't identify if the error is between the portal and the gateway or the gateway and the web site. 

The URL itself I can import if I use power bi desktop directly and it event work during the creation of the data flow, but not the refresh. How to troubleshoot this?

Thank you!