Data Gateway - won't allow merge of tables from different sources

[bpearce]

In Power BI Desktop I have a Power Query that pulls LocationDim from SQL Server and another Query that pulls a list of locations from an Excel file. Both queries load to the data model. I can publish this model & have both tables refresh via an On Premise Data Gateway. However, if I modify the LocationDim query & perform a Merge function (inner join to filter LocationDim by the locations in the Excel list), this model cannot be refreshed by the Data Gateway. Instead on the Power BI / Refresh Schedule page it tells me that I need to install a Data Gateway for the data sources specified in the model. 

Does the Data Gateway not support mixing data from two different sources defined in the Gateway?