This has annoyed me for a long time but I didn't realise the problem was limited to connections from Windows 7 machines running NOD32 anti virus - RDP sessions through TS gateway have a horrible lag. I honestly thought it was just slowness on the server side. However, it turns out to be a problem with NOD, which is only apprent under Windows 7, same NOD version running on Windows XP does not experience the problem. To overcome it:
I have had a look at the ESET configuration and you don't need to fully disable the web filtering.
Under the "HTTP, HTTPS" section you just need the "Do not use HTTPS protocol checking". This is normally greyed out because the SSL section is set to "Do not scan SSL protocol" by default so you just need to temporarly change this to "Always scan SSL protocol" while you make the change to the "HTTP, HTTPS" section.
We haven't opened a case with ESET as we don't really have a requirement to check HTTPS, also as SSL checking is disabled by default I'm not entirely sure what this would have been doing anyway!
The SSL section is a bit further down than the HTTP section in NOD's 'Entire Configuration Tree'!
The crazy thing is that if you disable NOD completely, the symptoms persisit. Only when you follow the precise instructions above do you overcome the problem.