gdk rake setup_ai_gateway does not seem to work for non SAAS setup

We had multiple issues at gitlab-org/editor-extensions/meta#224 (closed) and #2644 (closed) where the setup process failed at some point when trying to use the non SAAS option.

We should investigate why this is and either fix or document the problem to save people time in future.

Also see this internal discussion mentioning that switching to SAAS seemed to fix the issue.