help connecting to database via vpn

Hi pabeader,

You are correct. If you must use a VPN connection in order to connect the data, you should install the relevant components on the data gateway server.
A couple of notes:
1. To make sure your connection string is in order, and to perform tests, you should create the connection to the data source, in Power BI Desktop, from the same data gateway server. Then perform a local data refresh on the server. Any future change that relates to PQ should be done from the same server.
2. If possible, use a S2S VPN connection (not P2S). This is more robust and you are much less likely to have problems due to an inactive VPN connection.
3. If you must use a P2S VPN connection you will face problems. I would consider using automating to make sure the VPN connection is active and only then perform the refresh. You can also consider uploading the data to the cloud in stages (using some kind of automation or even separating the chunks of data using data flows). This will allow you to rerun only the failed parts of a refresh. You should really aim to avoid this scenario.