Hi,
Welcome to Microsoft Q&A community forum!
Virtual network data gateways is a Premium and Embedded feature, and will be available only in Power BI Premium workspaces, Premium Per User (PPU), and Power BI Embedded for public preview. However, licensing requirements might change when VNet data gateways become generally available.
Check this links for more information on licensing requirements
https://learn.microsoft.com/en-us/power-bi/enterprise/service-premium-what-is
Hope this helps
Cheers
Luca