Why does it say a gateway is needed to use Azure SQL database?

Why is a gateway needed to use Azure SQL?

- Never used Power BI before, so signed up for a trial

- Brand new laptop, I install Power BI Desktop on it

- I open it and pick Get Data

- I pick Azure SQL database and enter the servername : 1433 with the database, and leave it as Import

- The first time I did this is asked for SQL database credentials, but since putting them in the first time it has never asked again any time I try to redo these steps

- It then shows all my tables, I click one and it shows sample data, I click Load and it loads it

- I create a quick report using the data which looks great, and select Publish

- I select our main Workspace for our company and it publishes to Power BI

- I go into Power BI on the web and can view the report, but when pressing Refresh under datasets it says a gateway is needed and gives this error https://imgur.com/a/uckcoi4

- I go to scheduled refresh, and it's greyed out, same with credentials and most others here.  Only gateway is not greyed out and is set to on but says I don't have one installed and need one.

This is the one and only report I have in Power BI there's no Excel reports or anything.  Why is it saying a gateway is needed to use Azure SQL?