After much research, I came across these articles. "This virtual network has no gateway" was simply a random error the portal was showing, while in reality the issues is that not all hardware currently supports Regional VNet Integration. Even though the documentation above claims this feature is supported on Standard tier, it's a hit or miss depending on what scale unit you're provisioned on. The only reliable way to get this accomplished is by provisioning a PremiumV2 tier. I wish the documentation stated that clearly. Lots of time spent troubleshooting this. Here are the links that could help others:
https://github.com/MicrosoftDocs/azure-docs/issues/56945
https://github.com/MicrosoftDocs/azure-docs/issues/20348
EDIT: The correct error message is only available by using ARM templates. The portal doesn't show this error message. There are other nuances with the ARM templates as well that documentation does not cover. Look at either of those threads to know the correct "name" and "type" fields for the ARM template to use.