Hello
Thank you for your question and reaching out.
The Azure AD Proxy connection service should be installed on a server separate from the load balancer as the first (and recommended) option. This will guarantee proper session flow and maintain the load-balanced traffic in the manner intended.
Updating the local Host file on the RDWeb servers to direct the LB DNS name (Gateway.mydomain. com) to the hosts local IP address is the second option (and the one I tried with). The Azure AD Proxy connection service will continue to route all traffic to the load-balanced URL through the local computer in this manner. This will function properly up until a local web server issue, during which the connector will continue to operate. The load balancer's intended use is subverted by this solution. In production, it is best to choose the first option.
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