Mark those are good things to check, but remember that in these later versions of view you have to enable the windows firewall on the security server and connection server to allow them to pair through the ipsec tunnel component of the windows firewall. A lot of times people enable the windows firewall on the security server but the rules aren't correct. Since you have a firewall @araudiop I would just make the default action on the windows firewall of the security server to allow on all profiles. as mark suggested please share your security server config with us. Make sure that you have the correct PCoIP external address in that config, it should be the public IP mapped to that security server.
-Brad