Hi
I've chosen the second option and I've just tried to access the PostgreSQL through ODBC in Power BI Desktop, it works properly!
Unfortunately this is not the solution I prefer because it forces me to create new queries and rebuild all my data model... too much time consuming.
I will try to connect directly to PostgreSQL through the personal-gateway instead of on-premise.
Anyway, I will tag your message as solution because at least it works in PBI Desktop (for any future reader, I haven't checked the solution on PBI Service).
Thanks a lot,
Kind regards.