For your on-prem SSAS using Live Connection, you need to deploy On-Prem Gateway. Since it is live connection, any user who will these dashboards/reports, data will come from your on-prem SSAS.
To make it work, yes, you need On-Prem Gateway.
https://powerbi.microsoft.com/en-us/documentation/powerbi-gateway-onprem-indepth/
Just to let you know we have the same setup and it works great.
Good luck and feel free to reach out if need more help.
Cheers,
P