[ Win2K8R2SP1 ] --> RemoteFX virtual device --> Win 7 Enterprise (VM) --> RD Gateway --> TMG 2010 --> interweb (thar be draggons) --> Win 7 Pro SP1
Kyanar: Looks pretty right to me (provided what Zeon mentioned isn't an issue for you). You've got an SSL certificate for your RD Gateway and you've set up the CAPs and RAPs right?
Zeon: Does WIn7 even support RemoteFX with its RDP server? I'm fairly sure you need to use 2008 r2 as a terminal server for this?