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On-premises data gateway with custom connector OAouth2 and 2FA

We have a custom connector for getting data out of our SAAS accounting software. The REST API uses OAuth2 and 2-Factor Authorization. All is well in PBI desktop. Now we would like to refresh in the service.

We set up an on-premises gateway in personal mode following the instructions here and subsequent pages in the docs. Behavior is initially as expected: when clicking on "Edit credentials" a popup-window with the login screen for the accounting software appears. After supplying the user id and password, the expected behavior is for the 2nd factor authentication screen of the accounting software to replace the login screen (this happens in desktop). Instead, the entire popup-window disappears and we're back at the Configure-dialog of the custom connector in PowerBI. Since the authentication routine for the accounting software was not completed, there is obviously no way to refresh data in PowerBI.

My question: Has anyone experienced similar behavior and/or knows a solution for this issue?

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