Hi williamc,
Did you get an answer from the support ? I've just had exactly the same problem when trying to have the RDP Gateway working on a non default route domain.
This topic saved me https://devcentral.f5.com/questions/apm-and-native-rdp-session-54716
The problem came from the CMP feature on the VS. I've just disabled the CMP on my VS doing the RDP gateway and it worked like a charm :
tmsh modify ltm virtual vs-rdp-gateway cmp-enabled no
Disabling the CMP means that this virtual server will run on a single TMM, so you wont benefit from the multiple CPU you may have on your machine. It's not 100% perfect, but it's working.