Recently Microsoft unified the Data Gateway so that you have a single gateway for Power BI, Azure Analysis Services, Power App, Flow and maybe much else. However, it seems that automatic updates are not even planned at the moment as a feature for the Data Gateway. I understand that there are many scenarios where administrators don’t want to automatically update components running on a server. However, for the Personal Data Gateway, the update should be automatic when you upgrade Power BI. And for the on-premises Data Gateway running on a server, automatic update should be an option, maybe not enabled by default, but definitely possible.
If you think this is reasonable, you should vote the idea Gateway Update Notification and Auto Update for Enterprise Gateway, asking Microsoft to implement such a feature.