Hi,
What version of Windows Server is your RD Gateway running?
If your RD Gateway server doesn't have compatible cipher(s) with the client PC and/or is only capable of a TLS version that is blocked on the client PC then you will receive the error message you are seeing. If this is the case the fix is to update your RD Gateway server.
Are you able to open a secure connection to your RD Gateway server using a web browser? For example, if your RD Gateway FQDN is rdg.yourdomain.com then you would enter https://rdg.yourdomain.com in your browser. Typically you would see the default IIS page. If it fails, it will likely give you error message details that are more helpful than what the Remote Desktop Client displays.
-TP