When migrating documents, URLs contained in the document (either in the content or its properties) that link to the source server still link to the source after migration.
Sharegate does not manipulate the content of documents. As such, any URL in the documents themselves or the settings of these documents will not be corrected to link to the new destination server.
Update the document manually before the migration in order to have the proper URLs once you have migrated. You can also migrate the document as-is and update it once the migration is completed.