curved gradient

[turbid belfry]

How do i make this kind of gradient?

[stone spade]

this looks like it could just be an inner shadow, which gives it that gradient look

[prime wing]

Yes, either an inner shadow, or a stroke in shape burst gradient mode, or very large brush strokes

[turbid belfry]

How to select such shape though, if use inner shadow?

[prime wing]

Difficult to tell if you do not tell us how you work, did you build the design yourself with layers? Then you hover the shape, right click with the move tool to have a list of layers under the pointer.
Are you working from someone’s file? Then a selection tool like the magic wand, the quick selection tool, the object selection tool, color range, etc.

[turbid belfry]

I'm trying to make the same exact effect on my own project, with layers, I just don't know how to make that gap, between an outline and inner shadow.

[prime wing]

Which gap? The white area? Do not use inner shadow, but several strokes, including one that uses a gradient instead of a solid fill. https://www.photoshopessentials.com/basics/using-layer-effects-and-layer-styles-in-photoshop-cc-2020-complete-guide/