Same issue for us, another post related is here: https://powerusers.microsoft.com/t5/PowerApps-Forum/SQL-server-connection-issue/m-p/35856#M14811
To answer your question @Vicky_Song re: adding a machine with IP I have tried that with our current problem and it still comes up with the same credentials issue problem that @Anonymous initially had.
No updates to give. I put a help ticket in February and after several month of sending tech support trace data they were not able to find the issue. I have finally given up on the project and they have closed the help ticket. Maybe someone will figure this one out for us.
What's the status right now? I'm having the same problem while trying to make a azure sql db connection.
This thread is a year old, if you are on the most recent version of the data gateway you should be all set.
Otherwise if it's not working for you it's worth putting in a support ticket: https://powerapps.microsoft.com/en-us/support/