Accodring to July Feature Summary, on-premises data gateway is needed for the Service connection to Snowflake. If you prefer to connect to Snowflake directly without any gateway, You can create an idea in https://ideas.powerbi.com.
I have had all kinds of trouble getting the PowerBI.com service to recognize my Snowflake datasets so that I can refresh them through the gateway. If anyone at MS has time to help me debug I would love to help.
I'm running into similar problems. There needs to be a well crafted Data Gateway server configuration document. I've received guidance from one Microsoft contact that suggested we install the ODBC driver on the server and, then, add an ODBC Data Source Type rather than a Snowflake Data Source Type to the Data Gateway connections. In which case, I'd ask what is the point of the Snowflake Data Source Type? A member of my team suggested we should ask about the JDBC driver, but there is not guidance on where to place or how to install this driver on the Data Gateway server.