When implementing load balancing for RD Gateway we must take care not to forget load balancing the UDP traffic or you will lose out on all the user experience goodness that it provides. Here's a tutorial on how to do it with a KEMP Loadmaster.
When UDP is leveraged for high end graphics we want to avoid sending all that graphical network traffic the load balancer. There is no real added value being performed there in this UDP use case but the load might get quite high. This is where DSR is leveraged wen configuring the Loadmaster. That means we also need to configure our real servers to uses Direct Return as the forwarding method. When you forget this you’ll lose UDP with RDP 8.1 but you might not notice immediately. If you’re not looking for it as the HTTP connection alone will let you connect and work, albeit with a reduced experience.
To read more on why it’s done this way you’ll notice that for graphics it is great idea.