If you are using R as a data source, you may want to be able to refresh the data or run that R script on a schedule. However, if you try to configure a On-premises Data Gateway to refresh the data source, you will see this error.
Cannot be added to gateway
Back in August 2016, Microsoft added support for refreshing R scripts but only for the personal data gateway. So, in order to schedule a refresh where you are using R, you need to install and configure an on-premises data gateway in personal mode. The Microsoft documentation for r query steps reflects this limitation as well.