Connect to SQL Sever with On-Premisses data gateway

Hi guys,
I am a beginner to Power BI and I am trying to connect my SQL Server so I can use it as a data set. From what I heard I needed to install the On-premises data gateway and they configure a gateway on the WEB interface and then add a Data Source.
I successfully connected to my data base and I receive the Connection Successful check when I click test all connections.
But when I go to Datasets – SQL Server Analysis Services – Connect
There is no server listed there for me to connect – (No resources found). I triend to look up for this and saw in a tutorial that this could be that my user didn’t have permission to access any database. But my user was automatically added on the Users tab on Data Source Settings.
I don’t have the desktop app installed. I was trying to connect to my database from the web interface directly.
What did I miss, someone know how I can access my database after the gateway is configured ?
Regards,
Tiago