Q: I want to deploy multiple RD Gateway servers as part of a farm in Azure, but RD Gateway isn't compatible with the Azure Load Balancer; what can I do?
A: If you want to deploy multiple RD Gateway servers in Azure that are part of a farm, the solution is to deploy each RD Gateway in its own cloud service that's part of the same Azure Virtual Network and then use Azure Traffic Manager to balance across the various cloud service endpoints. The reason the Azure Load Balancer can't be used is the RD Gateway works using two HTTP channels (one input and one output), which need to be routed through the same RD Gateway; the Azure Load Balancer doesn't provide the required affinity.
Another option would be to use a third-party load balancer in Azure—for example, the KEMP Virtual LoadMaster for Azure. KEMP Technologies has a blog that discusses deployment.