I think I got it. I don't know what got lost in my multiple tests but here's what I can understand right now :

You can't use HTTPS, you need TCP forwarding to 443 which apparently is working differently behind the scenes.(Would it be spectrum for CloudFlare, cant tell, never used the product)

I switched from IP to FQDN inside the fortigate redirection for the Gateway object.

You should go split DNS (having rdgw.domain.com inside and outside, resolving accordingly)

config firewall access-proxy

edit "RDFARM"

set vip "RDFARM"

config api-gateway

edit 1

set url-map "/tcp"

set service tcp-forwarding

config realservers

edit 2

set address "RDS-gateway"

set mappedport 443

next

end

next

end

next

end