Azure Remote Desktop Services (RDS) is the platform of choice for building cloud VDI solutions for every end customer need, including delivering individual virtualized applications, providing secure mobile and remote desktop access, and providing end users the ability to run their applications, services and desktops from the cloud (Azure).
RDS in Azure provides cost efficiency, flexibility, secure remote access and a scalable remote working desktop solution. Enable users with a full desktop experience with all your applications that you install and manage who has access. Once set up, you can connect to the published desktops and applications from various platforms and devices, using the Microsoft Remote Desktop apps for Windows, Mac, iOS, and Android.
Can this be used to access External Resources? By external i mean that i want to be able to connect from my PC through the RDS GW using RDP to a Internet IP.
Yes you can access your internal network from the Internet and vice versa.