I may be wrong here, but it looks like an authentication issue. Have you tried connecting to the server from the gateway? Open the Microsoft Integration Runtime Configuration Manager, go to Diagnostics and fill every field, then click test. If everything is correct, a green check should appear. You are trying to impersonate a user, so choose Windows instead of Basic.
Try with it until you get the green check, then make sure that the linked service you are using has the same info you used and it should work.
You can also try creating a database user and give it permissions to make the query you want, then changing the linked service to use the database user instead of the windows user.
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