I found an issue with 2008 RD Web Access today for one of our clients that was working from home. Their home connection is on the same internal subnet as used in their office.
When connecting via RD Web access he ended up connected via RDP to one of his home machines. Connecting him manually into the Remote Desktop Gateway using his local RDP client was fine if Bypass RD Gateway server for local addresses was unticked. Checking the config on the server I found that the settings RD Web should push to the clients was correct and should have unticked Bypass RD Gateway server for local addresses. However it seems Remote Desktop Gateway Web service ignores Bypass RD Gateway server.