The app.powerbi.com is a cloud service on local internet whereas the SQL server database which you are creating is within vnet in onpremises.
So for having a connectivity between cloud and onprem ,you need a bridge which is the on premises gateway.
In case if you don't want any gateway to be configured, your source needs to be on cloud like Azure SQL database etc. Which is most likely for your case.
Azure SQL Logical server settings :
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