Hm , to clarify, the scenario you think should work is?:

SharePoint Online>Excel File>Excel Power Pivot>Data Gateway>onPrem Datasource (ie.SQL or SSAS)

What seems not working currently is:

SharePoint Online>Excel File>Data Gateway>onPrem SSAS (Tabular/OLAP "Live/Direct Connection")

-->Tried by Connecting in Excel to onPrem SSAS "direct" (local Servername) and also via the ODC File (provided with "analyse in excel"), in both cases clicking in the excel online pivot table throws error, the gateway seems not to be involved

see also: