I have configured a Remote Gateway (Just for test, all RDS roles in the same server) but I was unable to connect to the server, when I checked the logs (Location: Microsoft-Windows-TerminalServices-Gateway/Operational) I found this:
The user "MAYKONRDS\maykonadmin", on client computer "9x.2x.9x.7x", met connection authorization policy and resource authorization policy requirements, but could not connect to resource "rdsvmgw.southcentralus.cloudapp.azure.com". Connection protocol used: "HTTP". The following error occurred: "23005".
Solution:
Just configure your Internal DNS (you can use the hosts file as well) and point the address rdsvmgw.southcentralus.cloudapp.azure.com (in my case) to your Remote Gateway, I added on my hosts file, and works:
127.0.0.1 rdsvmgw.southcentralus.cloudapp.azure.com
