Hi there,
When connecting in Regular Gateway Mode the Session will connect to a client gateway and then to the terminal server.
C ----> GW -----TS
In Direct Mode the client connects to the Client Gateway to know where it need to connect to then it connects directly to the TS.
C ---1--> GW
\---2--> TS
Usually Regular gateway is used when you need to either pass all the connections through a single point eg. clients on the Internet need to connect to a server in a private network. This is also used when using MS client.
Direct Mode is mainly used when the setup is all on in one network, where the client can communicate with both the GW and the TS. This mode is more efficient.
Nixu