Dear Alexey,
I would like to add few things,
Request you to add the User in RLS at Visual Studio with Read access and a specific DAX filter and another with Admin access.
Analyze in Excel to check same.(just another step)
Process>Deploy
Connect Power BI Desktop Live with SSAS Tabular Model with Admin Account. (Please note the configured RLS might not work when connected by Import method through Admin person.)
Create any sample report > Publish to Power BI Portal to a workspace where the Read only User is added in group.
Try logging into Power BI portal by Read only user account. Check if the it works or not.
If your Power BI Gateway shows connection successful and you are able to refresh it, no issues with Gateway.
Please note, you need Pro License access, Access of user in workspace and access at tabular model.
Please do share you findings.
Thanks,
Saagar KInja