Gateway Connection Required Despite Getting Content from Azure Database

My coworker is able to publish our report that imports data from Azure SQL database as am I. I use the same data but in a different report however when I publish my report I need a Gateway to schedule a refresh while he does not. This is weird because according to the Microsoft Document below, Azure SQL Database does not require a gateway:

The credentials I am using to access the data are the Database credentials. What could be the cause?