Hi
In your scenario, did your Power BI service login names match your local directory UPN on SSAS side? If not, please check if you set the Mapping User Roles in on-premise data gateway. For more information, see: Map user names.
Also verify the user is not the admin on the server, please refer to AlexeyRusinov's reply in this thread: Enterprise Gateway with Analysis Services not passing logged in users credentials .
If issue persists, please share the detail steps about how you set row level security and the on-premise data gateway version for our analysis.
Best Regards,
Qiuyun Yu