I started setup of Data Management Gateway with a non-admin user (DOMAIN\User). The setup asked me the credentials of an administrator, so I provided a local admin (COMPUTER\Administrator). At this point the service installed correctly, but the "Data Management Gateway Users" group included only the initial user (DOMAIN\User). By starting the Data Management Gateway Configuration Manager Preview, I was asked again an administrative credential, so I provided (COMPUTER\Administrator) and at the following step, when I copied the Key, I always received an error because it was not possible to get an anti-forgery key from the Host Service.
I added the local admin user (COMPUTER\Administrator) to the "Data Management Gateway Users" Group, started the configuration manager again and then it worked.
I think you should handle this scenario in a better way, the error message does not help understanding the problem.
Marco Russo http://ssasworkshop.com http://www.sqlbi.com http://sqlblog.com/blogs/marco_russo