I have the same issue. Impersonation error and not being able to connect. Funny thing is, the gateway is running for another database on the same server with all the same settings as I have set up for a second database in the past.
So: gateway configured for new second database, all running well, everything online.
Created account to connect to to database with public/datareader access, works locally in management studio as well.
As soon as I want to add the SQL Database as a source, select a random table (at one point I figured this might be better to test with than a view), it tries to create the connections but it fails with the impersonation error.
More suggestions what could be wrong / what I could try? Especially since my "old" setup is working and the new one isn't, this is breaking my brain.
Was able to finally fix it. By not using a Windows account. Just couldn't get it working: got a "not authorized" (when connecting) or "impersonation not allowed" (when the tables had to be loaded in the model) error with all the possible connection options I had. Finally reverted back to a SQL account AND by using the Database tab when creating the connection and it was solved.
I'm not too much a fan of having to use SQL accounts though compared to Windows accounts, so I hope this is going to be fixed some day.