The mentioned gap theorem was generalized by Fabry (Acta Math. 1899, pp. 65-87): if the power series $f(z)=\sum_n a_n z^{\lambda_n}$ has radius of convergence $1$, and the exponents $\lambda_n\in\mathbb{N}$ satisfy $\lambda_n/n\to\infty$, then the unit circle is a natural boundary for $f(z)$.
Turán (Acta Math. Hung. 1947, pp. 21-29) gave a simple proof which might provide some insight into the phenomenon. His main inequality, from which he deduces the result, reads as follows:
$$ \max_{0\leq x\leq 2\pi}\ \left| \sum_{n=1}^N a_n e^{i\lambda_n x} \right| \leq \left(\frac{48\pi}{\delta}\right)^N \max_{a\leq x\leq a+\delta}\ \left| \sum_{n=1}^N a_n e^{i\lambda_n x} \right| $$
In other words, the key feature seamsseems to be that on every arc of the unit circle, the partial sums are considerably bounded away from zero. For more details I would recommend to study Turán's paper.