Hi
Currently, only Office 365 Enterprise E5 has Power BI pro. If you have another subscriptions except Office 365 Enterprise E5, and your Power BI Service has Power BI Pro content, the Power BI Pro license is required.
In addition, on-premises gateway requires Power BI Pro license. As you mentioned you can't get the on-premise gateway to connect, please check whether the current signed in account is a pro user.
If the issue is not related to account, please follow this article to troubleshoot the issue: Troubleshooting the On-Premises Data Gateway.
If you have any question, please feel free to ask.
Best Regards,
Qiuyun Yu