This type of LB configuration is typically solved using Microsoft's RD Connection Broker. It handles the persistence and user-redirection itself.
I can't think of why a persistence profile would make any difference as to what certificate is transmitted, or even what a certificate over the proprietary MSRDP protocol would look like. This Microsoft article has some information that might be helpful:
One thing I have seen is that untrusted-certificate error WILL pop-up if you use the Remote Desktop client to access an RD Gateway server that presents an untrusted TLS certificate, but that's over HTTPS (443), not RDP (3389). Hopefully in your tests you are 100% using good certificates that are trusted on your client PCs.
You can read more about the RDP-to-HTTP translation functionality of RD Gateway here: