Hi,
In normal RDS deployment, it is the Gateway role that provide users to securely access the remote computers from external network.
In your deployment, have you unchecked the "Bypass Gateway server for local addresses" ? (Step 7)
https://learn.microsoft.com/en-us/azure/active-directory/app-proxy/application-proxy-integrate-with-remote-desktop-services#direct-rds-traffic-to-application-proxy
Moreover, it is worthy to test by directly remoting through RD gateway via mstsc instead of RD web access and check the event logs on both client and server side:
Event log checking:
TerminalServices-RemoteConnectionManager and TerminalServices-LocalSessionManager logs to view information about connections.
Step 1: Press Windows+R to open the Run dialog, enter eventvwr (or eventvwr.msc) and hit OK.
Step 2: Navigate to Event Viewer\ Applications and Services Logs\ Microsoft\ Windows\ TerminalServices-*
At last, based on my research, one use also shared his resolution of checking RAP on the RD gateway manager.
https://community.spiceworks.com/topic/2093837-unable-to-authenticate-any-users
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Best Regards,
Jenny