PS 2020 is working well. Gradient from color to empty has strange behavier in PS 22.5.1 I can't get opacity 0 on a side. It still looks like the same color on the both sides. I didn't manage to fix it and make custom gradient
As Melissa says, your gradient looks fine. While we see the solid blue behind the Gradient Editor, we cannot see your Layers panel, options bar, or Tools panel so we cannot tell you what might be wrong.
How did you create the gradient on the layer? What kind of layer were you on? What is on the layer underneath this one?