Based on my test, if the dataset only contains data from SharePoint file, the "Connect Directly" option is available. However, if we combine data from SharePoint file and local file or any local data source in a single dataset, we have to configure gateway for this dataset. So please check your second dataset.
Community Support Team _ Yuliana Gu
If this post helps, then please consider Accept it as the solution to help the other members find it more quickly.