We are having a similar issue on my team.
When attempting to provide the R credentials on the powerBI site, the I get the same error as op.
However, when I setup a personal gateway on my laptop that I use for work everyday, everything works fine!
I clicked the 'edit credentials' used the default only option of 'WindowsWithoutImpersonation' and set up an auto refresh and it all worked...
I then tried to replicate this on another system to free up my laptop, but and I ended up with the same error as before.
I can only get this working on my personal laptop.
On all three systems, I'm running:
Personal Gateway 3000.0.265