version 10.7.2 for Mac broke the ability to connect to an RD Gateway. Rolling back to previous versions restores this ability.
I installed the most recent release of 10.7.1 from this beta page: https://install.appcenter.ms/orgs/rdmacios-k2vy/apps/microsoft-remote-desktop-for-mac/distribution_groups/all-users-of-microsoft-remote-desktop-for-mac
It is a beta release but functionally equivalent to the production version of 10.7.1.