Dataflow from Azure SQL Data Warehouse requires On-Prem Gateway?

My org recently set up an Azure SQL Data Warehouse.  I can connect to it from Power BI Desktop, get data, publish, and view the data in the report in the service -- everything works great.  Now I'm testing creating a dataflow from this same Azure SQL Data Warehouse, but I can't connect to the warehouse from the service.  After clicking on "+ Create" > "Dataflow" and selecting "Azure SQL Data Warehouse", the connection page is asking for an on-prem gateway, and there are no options to use OAuth2 or any other authentication.  Why is this?

I've tried to just go forward using the same credentials I used to connect to the warehouse from Desktop, but the service gives me this error:

An exception occurred: DataSource.Error: Microsoft SQL: Cannot open server "myorgsserver.com" requested by the login. The login failed. (Session ID: 53f7a888-910a-4aa6-9184-95fa261bd435)

For the published report that grabbed data from the warehouse, I'm able to configure the dataset in the service (with credentials) and refresh.  This is true for both DirectQuery and Import methods of grabbing the data.  The workspace is in a premium capacity.