I installed the on premise data gateway and managed to get the connection running.
When I enter "manage gateways" on app.power.com it tells me "Online: You are good to go".
I also added data sources, (local excel files) which are on the same server where the gateway is installed and it tells me "Connection successful".
When I go to my dataset and click scheduled refresh it tells me:
"Your data gateway (PowerBI - personal) is offline. To refresh scheduling, make sure your gateway is online."
Why should I need a personal gateway if my on-premise gateway is already succesfully connected to the data?