To use the "connect to a Remote Computer" feature in RDS 2012 you would need to add the RD gateway address to the settings on the web access server.

To do this you would need to open up IIS in the RDweb Server.

Expand the default Website

Select "Pages"

Select "Application Settings"

Then open up the "DefaultTSGateway"

Enter the external address (FQDN) of the RD Gateway in the Value Field.

Select Application Settings

Enter the external RD Gateway FQDN.

You will now be able to remote to devices using the Web interface.