When you trying to connect Power BI On-premises data gateway with BI Connector. If the BI Connector not listed in Custom data Connectors, Please follow the below article.
Goto the 'Connectors' option and click the browse button highlighted in the below screenshot.
Navigate to the 'BI Connector' installation path(This PC -> Program Files -> BI Connector), then select the 'powerbi' folder and click 'Ok'.
Then click 'Apply' button.
Now check the 'BI Connector' show up in On-premises data gateway like below screenshot.