It has been noticed that many Windows machines are configured to not use NTLMv2 security.  This results in a failure to log onto the RD Gateway without a clear error message as to why.  To fix this, you'd need to make a change to your local registry.

The security setting must be corrected on the client computer before RDP can be established.  Please set the registry entry on your computer to use NTLMv2 security (option 3 or higher).  This can also be configured through the local security policy on your computer.
 

https://support.microsoft.com/en-us/kb/2903333/

https://technet.microsoft.com/en-us/library/cc960646.aspx

HKLM\SYSTEM\CurrentControlSet\Control\Lsa\LmCompatibiltyLevel