Sessions that require multiple VPN/Tunnel/Gateway connections to be opened in order, don't work

Consider the following layout, where there is a company I connect to (parent object), where I have to connect to a VPN, before I can access the remote gateway:

At the company level, I have the VPN/Tunnel/Gateway settings set to always connect for RD Gateway, and link to the gateway as shown above (2nd child object).

Then, on the RD Gateway connection, under the VPN settings, I have the session set to always connect (but have tried ping/port scan/HTTP code) and type VPN Link, with the VPN Link set to the FortiClient session (3rd child object) above.

Open one of the RDP sessions, which has the VPN/Tunnel/Gateway settings set to inherit (1st/4th/5th child objects above), and it should open the RD Gateway session to connect - this works, when I manually open the VPN connection.

Expected result should be that (assuming all connections are closed), I open one of the RDP sessions, it goes to connect via the RD Gateway session, which depends on the VPN being open, and if it's not open, then the VPN session should start (either because of the always connect setting, or ideally via one of the supported ping/port-scan/HTTP code detection methods).

All the parts of this work individually - ie the VPN session can be told to open, and then RDP via the RD Gateway session works fine, it just doesn't combine it all together and open the sessions, if needed, as I'd expect it to.

Is it possible to get this to work, or should it already work?