Hi @spagad6263 ,
Based on the information you provide, and data sources
Q1. Is this due to Power BI Gateway not installed and configured?
If your data source is an on-premises database, you need to configure a gateway
Q2. Where should I install Power BI? I guess this will be on-prem
the following links are how to configure gateways
Install an on-premises data gateway | Microsoft Learn
Q3. Will the authentication info stored in Power BI Gateway?
The authentication will be stored in service, then the credential will be sent to gateway, you can refer to the following link, it describes the workflow for the gateway
On-premises data gateway architecture | Microsoft Learn
Q4.Apart from connecting to web API, I also need to connect to SQL on-prem. Will PB Gateway handle the connection as well?
You need to configure the data source by referring to the following links
Add or remove a gateway data source - Power BI | Microsoft Learn
If this post helps, then please consider Accept it as the solution to help the other members find it more quickly.