@LokeshChikuru 

Thank you for your message, Private Network Gateway (PNG) would assist you in creating a unified access to your cloud and on premise hosted resources without using various load balancers and proxy VM's. For the issue you are experiencing around Azure SQL MI, it is stated in our documentation that PNG will only connect to resources hosted in your virtual network, so it wont connect to cloud-hosted services such as ADLS and Azure SQL MI that uses service endpoints.

I would definitely encourage you to test PNG while its free in Private Preview.

Thanks
Sam