One of our PBIX files that is published to O365 has connections to Excel files. These Excel files are stored in an O365 Modern Group document library. We try to schedule a refresh, but while we normally see in this scenario the option to connect directly to a data source, in this case we only see the option to use a Gateway. For all our other PBIX files that connect to Excel files in an O365 Modern Group we always can connect using a direct connection, Why would that option not show for one of my colleagues? The colleague has a license for Power BI Pro.
Just did some tests on my own environment. The only situation in which direct connection is unavailable is when (1 of) the source excel files is/are located outside of the office 365 environment. You could double check that to be sure. Unfortunatly, i cant reproduce your issue for excel files located in a 365 group