@Andrew Bilham
You will need to have gateway installed in order to connect from PBI Service.
Installed and configured PBI Gateway.
https://learn.microsoft.com/en-us/data-integration/gateway/service-gateway-install
Power BI expects a gateway for on-prem SQL Server connector. If not provided, you may encounter an error if you try to create a connection on PQO.
Connection could not be created. This may mean it is not accessible from this network or at this URI, or that a gateway is required to access this data source.
Regards, Oury