On-premises data gateway full download link
Most enterprises, if outbound internet traffic is allowed from servers, will not allow basic HTTP (unencrypted) traffic. The new installation download link at https://go.microsoft.com/fwlink/?LinkId=820925&clcid=0x409 appears to point you to a small installer program that then attempts to download the larger installation media, which will fail from servers not allowing regular HTTP outbound.
It appears you can still download the full offline installer from the Microsoft download center here https://www.microsoft.com/en-us/download/details.aspx?id=53127 , however it's a bit annoying to have to go find it that way.
It would be helpful to have a full installer link on the same download page you get sent to when opting to download the gateway from app.powerbi.com