Private Endpoint not resolved using Private Link - VNet Data Gateway

I experience the same problem. I have a vnet data gateway in subnet A, and a private endpoint in subnet B. Both subnets are in the same VNET. The required DNS records for the private endpoint has been correctly set up. We have been using the private endpoint for years in our apps.

The VNET data gateway has a "troubleshoot network" experience in de Power BI UI, and testing the connection to my  Azure SQL (FQDN: <sql-server-name>.database.windows.net) succeeds on port 1433. It finds the "privatelink" CNAME and resolves to the correct private IP of the private endpoint's NIC.

Nonetheless, when refreshing reports we get an error saying "Connection was denied since Deny Public Network Access is set to Yes. To connect to this server, use the Private Endpoint from inside your virtual network", indicating that the connection was made to the public endpoint. It's as if the FQDN <sql-server-name>.database.windows.net did not resolve to the private endpoint when setting up the connection (not respecting private DNS?) but to the public endpoint instead....