Does using an enterprise gateway bypass the need to login into VPN?

I have a SQL Server on a VM (IAAS) inside a VNET in my organization. Access to the datasource from the outside world needs a VPN connection into the VNET first, then can connect to the SQL Server database using the data source's credentials.

My question, after reading about the Power BI Gateway (Enterprise), is that if i create content that uses this data source, does the gateway remove the need to VPN into the VNET? Or this is still required?

I am using Power BI pro and so are the clients of this Power BI dashboard.

Thanks.