This is an additional step that you have to perform. You need to set up delegation from the Gateway Server to the Files Advanced server regardless if they are on the same machine or not.
Kerberos Constrained Delegation
This type of delegation will work if the Files Advanced server and the Gateway Server are in the same domain.
Note: Do not search for the computer that the Files Advanced server is running on - you'll have to do the lookup by username.
Note: Kerberos authentication to the Files Advanced server is not compatible with single port mode.
Resource Based Kerberos Constrained Delegation
This type of delegation will work even if the Access and Gateway servers are in separate domains in a domain forest.
Note: In order to make use of this feature, all of your domains that Files Advanced will have access to must run in domain functional level 2012 or higher.
$pc1 = Get-ADComputer -Identity <name_of_gateway_machine>
Set-ADUser <Access_SSO_user_account> -PrincipalsAllowedToDelegateToAccount $pc1
e.g: $pc1 = Get-ADComputer -Identity ahsoka
Set-ADUser john -PrincipalsAllowedToDelegateToAccount $pc1
$user1 = Get-ADUser -Identity <Gateway_User_Account>
Set-ADUser <Access_SSO_user_account> -PrincipalsAllowedToDelegateToAccount $user1
e.g: $user1 = Get-ADUser -Identity gwuser
Set-ADUser john -PrincipalsAllowedToDelegateToAccount $user1
It will take some time for the delegation to be propagated – 10 to 15 minutes for small LDAP deployments and even more for larger structures.