You need to connect to the data source for the Job Setup app.

Scenario: The Job Setup entity must store its data in the existing on-premises SQL Server instance.

The on-premises data gateway acts as a bridge to provide quick and secure data transfer between onpremises data (data that isn't in the cloud) and several Microsoft cloud services. These cloud services include Power BI, Power Apps, Power Automate, Azure Analysis Services, and Azure Logic Apps. By using a gateway, organizations can keep databases and other data sources on their on-premises networks, yet securely use that on-premises data in cloud services.