Power BI Direct Query Gateway Connection

My team have created and published enterprise level Power BI dataset in PBI service ( single version of truth reporting layer). This dataset is consumed by every department in the company to build their own Adhoc reporting and they can publish their content in their PBI workspace. All of our solution is in Azure cloud.

Due to the nature of reporting requirements consumer might need to bring in some data mapping which may reside on on premise server, e.g an excel file.This means to make change in the model , we need to switch to a direct query connection and we all know connection can’t be revert. The storage mode becomes Mixed.

If we try to open a report in a workspace, it pbi service prompts an error message below :

1. There is no gateway to access to enterprises level dataset
2. Verify the gateway connection configuration

As far as I know we don’t need to set up connection to the source that’s sits on cloud.