Please write issue on github, with your config and "connector.log". MQTT connector can connect to an external broker, and subscribe to some topics for data collection. Did you check your logs? Logs folder location you can find here.
You can use the new gateway with docker in Windows. We are going to release a docker image soon.
Please try again after upgrading with commands:
sudo pip3 uninstall thingsboard-gateway -y
git clone https://github.com/thingsboard/thingsboard-gateway.git
sudo python3 ./thingsboard-gateway/thingsboard_gateway/setup.py install