Just read the post title. If you are not seeing traffic from client to the big-ip on udp 4172 then I would verify your connection servers have options "Use Secure Tunnel", "PCoIP Secure Gateway", and "Blast Secure Gateway" unchecked. You do not need to direct clients back to a specific gateway address since APM will be handling PCoIP traffic (APM inserts it's ip address as assigned VD address and proxys to actual assigned virtual desktop address). I would run a tcpdump on the client to see where it is sending PCoIP connection requests, hopefully it is sending them to the BIG-IP. If so, then run tcpdump on BIG-IP to see client request. If you are not seeing the request on the big-ip then something in the middle needs to be configured to allow 4172 to the big-ip. Last step of connection request is to watch for big-ip self ip to make PCoIP request to the assigned virtual desktop (or RDS hosted app).
Hope this helps,
Greg