I notice there was an RTSP Proxy fix in 6.1; I can't claim that it will fix the issue you are experiencing though. So you might want to put up a test box with the latest version of WinGate so to make sure that you are not dealing with a problem that has already been fixed.
12. Fixed a problem with Interleaved connections in the RTSP proxy.
There are also some Microsoft Knowledge Base articles regarding Windows Media Player and RTSP:
http://support.microsoft.com/search/def ... m=1&res=20And at the end of the day, a lot of streaming content can pass through the HTTP proxy these days or you can just use the NAT/WGIC connection method.