I know this is an old thread but I finally stumbled upon the correct answer that actually solves the problem. Apparently RD-Gateway credentials are stored like any other regular 'network authentication' credential and not as a Remote Desktop credential. So the only way to prevent them from being saved is to prevent all 'network authentication' credentials from being saved which is via the local security policy: "Network Access: Do not allow storage of passwords and credentials for network authentication".
Open gpedit.msc and navigate to: Computer Configuration -> Windows Settings -> Security Settings -> Local Policies -> Security Options. Open the policy (named above) and set it to enabled. Now the computer will no longer save the RD-Gateway credentials. However, be aware, the "Save Credentials" checkbox will remain and if the user selects it, it will just re-prompt (without error) for the credentials again until they are entered without the checkbox being selected.