Data refresh error in power bi service

That error is a symptom that connectivity doesn't exist between the gateway and the SQL Server that you are attempting to access.

I would confirm that you have access to the SQL Server using SSMS with the same credentials you plan to use with the Gateway from the machine where you have the gateway installed. 

You need to clarify if this is a personal gateway (downloaded) to your machine (typically not recommended unless the machine is a workstation wired into your network and on 24/7) or a VM in which you install the gateway. 

Our gateway is the later case, where I have to have Infrastructure open up the ports and access on that VM to the SQL Server databases that the Gateway will access and then configure the gateway there on that VM.  I have not used personal gateways.