Hi
Do you connect to OData feed of online service or on-premises service in Power BI Desktop? If you connect to OData feed of on-premises service, after you publish Power BI Desktop file to Service, gateway is required when you refresh the dataset.
In addition, which authentication method do you choose when connecting to OData feed in Power BI Desktop? And could you please post the screenshot of your data sources in Power BI Desktop? You can go to File -> Options and settings ->Data source settings to check data sources.
Thanks,
Lydia Zhang