We are in the process of replacing an On-Premises Data Gateway running on a VM with a Virtual Network Data Gateway running in Azure; the VNet Data Gateway has full connectivity and name resolution to the on-premises environment.
There are several PowerBI reports which make use of the data gateway to access on-premises data sources, and for most of them the conversion is quite straightforward; however, one of them uses an Excel file on a local file server as a data source.
According to the documentation, Excel is a supported data source when the VNet Data Gateway is connected to your on-premises network using a VPN or ExpressRoute (which is our case); however, it just doesn't appear in the available data sources list when trying to create a connection; nor does it appear anything like "file", "folder", "file share", or such. It is possible to connect to a file on an Azure File Share, but this explicitly requires an Azure File Share URL and doesn't support SMB syntax.
Is the documentation wrong?
If not, how can a PowerBI report use an on-premises Excel file as a data source through a Virtual Network Data Gateway?