I have read that when using PowerBI with Dremio, there is no need to use PowerBI Data Gateway. Is this true? If say my PowerBI Service is running in Azure and Dremio is in AWS, then we need to expose the Dremio URL as a Public URL right? Is it a security threat?
Yes, you are right, we do not necessarily need Gateway to connect to Dremio, please refer the following article for more clarity.
The cross compatibility between Azure and AWS is something you need to test it from your end, you will have tune you network settings accordingly.