1.Kindly check if you have enabled "Bypass RD Gateway server for local address". It will omit the RD gateway when remoting form internal.
2.Kindly check if you have enabled single sign-on between RD Web and RD Gateway with command shared in step 8.
If everything configured well, the users are asked to authenticate once to Azure AD and once to RD Web, but they have single sign-on to RD Gateway.
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