As per the latest post from the microsoft it is possible as there are no DS exception mentioned.
https://powerbi.microsoft.com/en-us/blog/on-premises-data-gateway-june-update-is-now-available/
But I upgraded the enterprise gateway to the latest June edition ,but the option for "USE SSO VIA KERBEROS FOR DIRECT QUERY " is not present for the SAP BW DS.
It is present for SAP HANA( pls refer the screenshot below) .There are some older posts which says that for some particular DS the SSO is possible via the gateway.
Older post:
https://docs.microsoft.com/en-us/power-bi/service-gateway-kerberos-for-sso-pbi-to-on-premises-data
Am I missing anything or the latest gateway dooes not allow for SSO thru SAP BW ?