Just in case anyone else has this issue.  Each Terminal Server/RDS server should be added to vWorkspace and then you can let vWorkspace load balance via the Workload Evaluators.  Using Quest PNTSC to connect directly to a Round Robin DNS name will bypass the Connection Broker and break session roaming mode.  Kind Regards, Andrew.
with the RD Gateway and the TS session hosts it supports restricting user to single session. vWorkspace also seems to works ok for this setting, but I've found a couple cases where it actually logs into a different session on a different server. Am I missing a setting somewhere?
Restrict to single session