Many Thanks to tringuyenminh92 for the avice !
However, I can't use the workaround solution due to the company policy, so further investigate the Gateway Installation issue is script error which was mentioned in troubleshooting page. (https://powerbi.microsoft.com/en-us/documentation/powerbi-gateway-onprem-tshoot/)
So I download and install patch 3147458 for Windows 10 Version 1511 but it also install fail for this patch.
https://technet.microsoft.com/en-us/library/security/ms16-051.aspx?f=255&MSPPError=-2147217396
So see if any others also face the same issue.
Many Thanks !