HI @PeKi1972 ,
You are correct that there is Desktop and there is Service. They both connect to almost all the same connections. SQL is one that works in both.
The normal process is that you create your report with the visuals and data connections in Desktop and then you publish to the Service.
Once in the Service, you will need to have a gateway setup to get to the SQL server if it is internal to your organization and not cloud based. As a rule, you will want the gateway on a server of something that stays on most of the time and the gateway will be shared by numerous users through the data connections. This article explains the gateways.
On-premises data gateway - Power BI | Microsoft Learn
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