Hello @Vincent_Quillet - welcome to the community. While you may use the BI Connector, it too requires an on-premise gateway when using Power BI Service. Also, Atlas SQL will eventually replace Atlas BI Connector.
With the Atlas SQL Power BI Connector you can download the Connector and Driver and configure your on-premise gateway with this connector. Download and install the Connector and ODBC Driver here.
Here are some steps to follow for the Gateway:
Let me know if you need more guidance!
Best,
Alexi