it says, "cannot be added to a gateway"
You needn't to add the Azure Data Lake data source in Manage Gateways section. But you need to turn on "Allow user's cloud data sources to refresh through this gateway cluster" option for the on-premises data gateway, then you are able to enter credential for the Azure Data Lake data source in Dataset Settings. See: https://docs.microsoft.com/en-us/power-bi/service-gateway-mashup-on-premises-cloud
Best Regards,Qiuyun Yu