RDS 2008 R2 and F5 Load Balancing

You do need the Connection Broker set up in your environment. BIG-IP will honor the broker token, assuming you have selected the MSRDP persistence profile on your RD Session Host virtual server; however, no connections from Session Host to Connection Broker will pass through the LTM. The Session Host servers will simply talk directly to the Connection Broker, however you have that set up. I think you will need clustering to have multiple CB servers in 2008, though.