I know exactly where it comes from.
X-Men Adventures (the comic based on X-Men the Animated Series episodes) #9, featured a 14 page preview of things to come, and contained the Nick Fury files quote. Also, I think it was in the Maximum Anniversay X-Perience, a sorta...spiral style book that laid out the mansion, danger room, blackbird details, etc. It showed off Gambit's bedroom I recall haha.
Even without the quote, that era of Gambit is the one that made me a fan. "bang you dead" deflecting bullets with a stick, picking locks with a spike in his leg, french kissing a Jean-bot, Taco Bell dating, Blackcat chillin', Sabretooth abusing, chain smoking (hey, the X-Men are immortal now, right ?
), Harley riding, gumbo stewing, Bishop chest jabbin', Batmobile stealing, tortured soul, devil may care, Ragin Cajun that can do more than be saved and lectured.
I look at what he is now and even in X-Factor and wonder what the @#@$ did Marvel pay James Asmus for? Ok, I get it, everyone has their favorites, but there are actual writers Marvel employs that want to write the character. He has fans - I just dont get the point of sticking him with creators that obviously have no interest or respect for the character. His and Rogue's usage in Excalibur is so obviously just for attention its maddening. Gambit's a running joke and Rogue wasnt in the book for half the run. And I'll say it again - they dont have to be in a book together.