Sandeep,
The RDS Gateway is just a connection proxy, that is all. You have to have CALS for the Terminal Server/Remote Desktop Server you are accessing behind it. So if you have 50 users that need to log on to a Remote Desktop Services server, you need 50 Terminal Server CALS and you're done. You do not need CALS for the Gateway regardless of whether you use RDP or RWW.
JamesNT
That's exactly what I thought, but I found out I was wrong. Technically, SBS Users are only licensed to use the Gateway through RWA. What you're saying may be true for Server 2008R2, but not for SBS 2011. That's why you don't have access to the console in SBS. If you do directly access a desktop using the Gateway then you need an RDS CAL. Even physical desktops in your LAN, not even talking about RDS right now.
Read this:
http://blog.mpecsinc.ca/2011/07/sbs-2011-remote-desktop-gateway.htmland this:
http://msmvps.com/blogs/bradley/archive/2011/08/13/rds-in-sbs-2011.aspxI don't understand the logic behind it, but it does give MS more money.