How do I create a Dataset connected to a Gateway Data Source?

Hi TheNItzel 

It sounds like you are mixing all up. You don't need Gateway to connect Power BI desktop to SQL, you just to choose the right connector. Where is the gateway installed? On premise? Then you will need it to create a dataflow in the service.

So for anyone who stumbles upon this in the future, Amine/aj1973 is correct.  The answer is to create a Dataflow instead of a Dataset.  For whatever reason there seems to be two MS docs around Power Bi Data Gateways and one tells you to use Dataset which still requires a network connection to your Power Bi Desktop to INITIALLY establish and then the other tells you how to create a Dataflow which is done through the Power Bi Service website.  ALSO you must not create this from "My Workspace" but instead create/have an existing standalone Workspace, then choose New and choose Dataflow from there.  At that point you can select your SQL/Whatever data source type matches the one you created as a Data Source in the Power Bi Data Gateway configuration pages.  Copy the server information exactly as you have it from your configured Data Source into the the Dataflow connection page and it will transform magically into showing you the name of the Data Source name you configured on the Gateway page.  You can then go to Power Bi Desktop from ANYWHERE that has an internet connection, choose "Get Data" then choose "Dataflows", sign in with the account that has access to that Workspace/Dataflow you created, then choose the dataflow you made and see the tables.  Magic.