Generally speaking, it is against Microsoft best practice to install anything other than required components on a dedicated system server (SQL, Exchange, SharePoint, etc.).
You can certainly install the connector directly on the SQL Server, but it is an added component that could possbily affect the performance or stability of the server - which is why they do not recommend it. For one of our clients, we installed the Gateway directly on the web front end server within their SharePoint environment without issue. Although I would have preferred to have not done so - but they didn't want to pay for another VM.
Most IT infrastructures have "tools" or "jump" servers within their environments to house small, one-off tools like the Gateway connector which is considered "best practice."