https://learn.microsoft.com/en-us/entra/identity/authentication/howto-mfa-nps-extension-rdg

When looking at the sign-in logs for RDP clients that use Entra ID for two factor auth the log entries might show the IP address as the IP Address and Port of the RDS Gateway Server NOT the connecting client.

To view the connecting RDP client's IP Address you can use either of the following methods

Event viewer

RD Gateway logs under Event Viewer\Applications and Services Logs\Microsoft\Windows\TerminalServices-Gateway\Operational include the client IP.

RD Gateway Manager

RD Gateway Manager shows the connecting clients "Client IP Address"