With the new azure IaaS service going public soon I would really like Microsoft to extend this offering to allow remote desktop as a service or remote application as a service using RDP.

This could be licensed per concurrent connection as a local "External Connector Licensing" counterpart or a per user / device licensing mode.

The trick could be to allow an “RDP gateway vm service role” which deploys multiple boxes in the same "subdomain" and allows me to scale the number of boxes in the role.

There are several scenarios where this would come in handy. For us as an ISV we would use it to deliver our windows software as a SaaS solution to our customers. We are doing this with another provider now. For individual businesses it would allow them to move their software to Azure before upgrading servers / workstations. This would allow them to switch to newer os versions earlier, keeping just old software on the old os. It would also allow businesses to move to a windows 8 native apps only environment because they could move the “old” software to Azure RDP.

IaaS service was announced here:
http://www.zdnet.com/blog/microsoft/microsoft-to-enable-linux-on-its-windows-azure-cloud-in-2012/11508