How to secure SQL Server in an enterprise environment?
Here are couple of comments / advice regarding performance / network:

1) Those 40 guys that currently download data daily, they obviously using "Import" mode, and they added this table as a data source, and Power BI pulls this whole table (33 mln row) every time report refreshes. 
What you can do is to work with them to refactor how they query data. If they need an aggregate values from that table, they can use "Import" mode and run an aggregate query instead of pulling whole table each time. This will be MUCH lighter in terms of performance and network consumption

2) why all 40 users each need to have personal gateways ? If those guys really need this data, 1 user should be enough, this user can then share his report to his colleagues so others 39 won't be hitting your SQL Server - they would just read report data from the 1 guy's PC